Central limit theorem for nonlinear hawkes processes.

• Autores: Zhu Lingjiong
• Localización: Journal of Applied Probability, ISSN-e 0021-9002, Vol. 50, Nº. 3, 2013, págs. 760-771
• Idioma: inglés
• DOI: 10.1239/jap/1378401234
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• Resumen

  • The Hawkes process is a self-exciting point process with clustering effect whose intensity depends on its entire past history. It has wide applications in neuroscience, finance, and many other fields. In this paper we obtain a functional central limit theorem for the nonlinear Hawkes process. Under the same assumptions, we also obtain a Strassen's invariance principle, i.e. a functional law of the iterated logarithm.