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arXiv:1211.4039 [math.PR]AbstractReferencesReviewsResources

Limit Theorems for Marked Hawkes Processes with Application to a Risk Model

Dmytro Karabash, Lingjiong Zhu

Published 2012-11-16, updated 2015-02-26Version 3

This paper focuses on limit theorems for linear Hawkes processes with random marks. We prove a large deviation principle, which answers the question raised by Bordenave and Torrisi. A central limit theorem is also obtained. We conclude with an example of application in finance.

Comments: 14 pages
Categories: math.PR
Subjects: 60G55, 60F10, 60F05
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