Gaussian approximation of nonlinear Hawkes processes

Academic Article
Publication Date:
2016
abstract:
We give a general Gaussian bound for the first chaos (or innovation) of point processes with stochastic intensity constructed by embedding in a bivariate Poisson process. We apply the general result to nonlinear Hawkes processes, providing quantitative central limit theorems.
Iris type:
01.01 Articolo in rivista
Keywords:
Clark-Ocone formula; Gaussian approximation; Hawkes process; Malliavin's calculus; Poisson process; Stein's method; Stochastic intensity.
List of contributors:
Authors of the University:
Handle:
https://iris.cnr.it/handle/20.500.14243/322920
Published in:
THE ANNALS OF APPLIED PROBABILITY
Journal