Asymptotic results for a class of Markovian self-exciting processes
Abstract Hawkes process is a class of self-exciting point processes with clustering effect whose jump rate relies on their entire past history. This process is usually defined as a continuous-time setting and has been widely applied in several fields, including insurance, finance, queueing theory, a...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2023-06-01
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| Series: | Journal of Inequalities and Applications |
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| Online Access: | https://doi.org/10.1186/s13660-023-02989-z |