A univariate Hawkes process is a simple point process that is self-exciting and has a
clustering effect. The intensity of this point process is given by the sum of a baseline intensity …

In this paper we propose a stochastic process, which is a Cox-Ingersoll-Ross process with
Hawkes jumps. It can be seen as a generalization of the classical Cox-Ingersoll-Ross …

Hawkes process is a class of simple point processes that is self-exciting and has clustering
effect. The intensity of this point process depends on its entire past history. It has wide …

The Hawkes process is a simple point process that has long memory, clustering effect, self-
exciting property and is in general non-Markovian. The future evolution of a self-exciting …

This article 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 …

Large deviations and applications for Markovian Hawkes processes with a large initial intensity
Page 1 Bernoulli 24(4A), 2018, 2875–2905 https://doi.org/10.3150/17-BEJ948 Large deviations …

Hawkes process is a simple point process that is self-exciting and has clustering effect. The
intensity of this point process depends on its entire past history. It has wide applications in …

We consider discrete time Hawkes process which is a class of g-functions. The limit
theorems for continuous time Hawkes processes are well known and studied by many …

Hawkes process is a class of simple point processes with self-exciting and clustering
properties. Hawkes process has been widely applied in finance, neuroscience, social …

Acta Mathematica Sinica, English Series Page 1 Acta Mathematica Sinica, English Series
Oct., 2017, Vol. 33, No. 10, pp. 1297–1304 Published online: July 15, 2017 DOI: 10.1007/s10114-017-6433-7 …