Large Deviations for Hawkes Processes with Randomized Baseline Intensity
The Hawkes process, which is generally defined for the continuous-time setting, can be described as a self-exciting simple point process with a clustering effect, whose jump rate depends on its entire history. Due to past events determining future developments of self-exciting point processes, the H...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-04-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/11/8/1826 |