Normal approximation of compound Hawkes functionals
We derive quantitative bounds in the Wasserstein distance for the approximation of stochastic integrals with respect to Hawkes processes by a normally distributed random variable. In the case of deterministic and nonnegative integrands, our estimates involve only the third moment of the integrand in...
| Egile Nagusiak: | , , |
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| Beste egile batzuk: | |
| Formatua: | Journal Article |
| Hizkuntza: | English |
| Argitaratua: |
2023
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| Gaiak: | |
| Sarrera elektronikoa: | https://hdl.handle.net/10356/172793 |