Fetching the paper…
Reading the bibliography…
This paper focuses on limit theorems for linear Hawkes processes with random marks.
Hawkes, A. G. and D. Oakes. (1974). A cluster process representation of a self-exciting process. J. Appl. Prob
1974
Earlier work this paper cites.
Varadhan, S. R. S., Large Deviations and Applications , SIAM, 1984
1984
Earlier work this paper cites.
Jacod, J. and A. N. Shiryaev. Limit Theorems for Stochastic Processes
1987
Earlier work this paper cites.
Goldie, C. M. and S. Resnick. (1988). Distributions that are both subexponential and in the domain of attraction of an extreme value distribution. Adv. Appl. Probab
1988
Earlier work this paper cites.
Glynn, P. W. and W. Whitt. (1994). Logarithmic asymptotics for steady-state tail probabilities in a single-server queue. J. Appl. Probab
1994
Earlier work this paper cites.
Brémaud, P., and L. Massoulié. (1996). Stability of nonlinear Hawkes processes. Annals of Probability
1996
Earlier work this paper cites.
Dembo, A. and O. Zeitouni, Large Deviations Techniques and Applications , 2nd Edition, Springer, 1998
1998
Earlier work this paper cites.
Brémaud, P., Nappo, G. and G. L. Torrisi. (2002). Rate of convergence to equilibrium of marked Hawkes processes. J. Appl. Prob
2002
Cited alongside, same era.
Daley, D. J. and D. Vere-Jones, An Introduction to the Theory of Point Processes , Volume I and II, Springer, Second Edition, 2003
2003
Cited alongside, same era.
Bordenave, C. and G. L. Torrisi. (2007). Large deviations of Poisson cluster processes. Stochastic Models
2007
Cited alongside, same era.
Varadhan, S. R. S. (2008). Large deviations. Annals of Probability
2008
Cited alongside, same era.
Stabile, G. and G. L. Torrisi. (2010). Risk processes with non-stationary Hawkes arrivals. Methodol. Comput. Appl. Prob
2010
Cited alongside, same era.
Zhu, L. (2013). Central limit theorem for nonlinear Hawkes processes. Journal of Applied Probability
2013
Closest in time.
Zhu, L. (2013). Moderate deviations for Hawkes processes. Statistics & Probability Letters
2013
Closest in time.
Zhu, L. (2013). Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims. Insurance: Mathematics and Economics
2013
Closest in time.
Zhu, L. (2014). Process-level large deviations for nonlinear Hawkes point processes. Annales de l’Institut Henri Poincaré-Probabilités et Statistiques
2014
Closest in time.
Zhu, L. (2014). Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps. Journal of Applied Probability
2014
Closest in time.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
2012
Cited alongside, same era.
Bacry, E., Delattre, S., Hoffmann, M., and J. F. Muzy. (2013). Some limit theorems for Hawkes processes and application to financial statistics. Stochastic Processes and their Applications
2013
Cited alongside, same era.
Karabash, D. On stability of Hawkes process. arXiv:1201.1573
Cited in the paper.
Zhu, L. (2015). Large deviations for Markovian nonlinear Hawkes processes. Annals of Applied Probability
2015
Closest in time.