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Hawkes process is a class of simple point processes that is self-exciting and has clustering effect.
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Brémaud, PierreP. andMassoulié, LaurentL. (1996). Stability of nonlinear Hawkes processes. Ann. Probab. 24 1563–1588
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Stabile, GabrieleG. andTorrisi, Giovanni LucaG. L. (2010). Risk processes with non-stationary Hawkes claims arrivals. Methodol. Comput. Appl. Probab. 12 415–429
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Bacry, E.E., Delattre, S.S., Hoffmann, M.M. andMuzy, J. F.J. F. (2013). Some limit theorems for Hawkes processes and application to financial statistics. Stochastic Process. Appl. 123 2475–2499
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Bordenave, CharlesC. andTorrisi, Giovanni LucaG. L. (2007). Large deviations of Poisson cluster processes. Stoch. Models 23 593–625
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Zhu, L.L. (2014). Limit theorems for a Cox–Ingersoll–Ross process with Hawkes jumps. J. Appl. Probab
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Zhu, L.L. (2014). Process-level large deviations for nonlinear Hawkes point processes. Ann. Inst. Henri Poincaré Probab. Stat
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