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Showing 2021 · math.PRShow all
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math.PR2021★ 4 cited
Diffusive limits of Lipschitz functionals of Poisson measures
Eustache Besançon, Laure Coutin, Laurent Decreusefond +1
Continuous Time Markov Chains, Hawkes processes and many other interesting processes can be described as solution of stochastic differential equations driven by Poisson measures. P…
math.PR2021
Hidden regular variation for point processes and the single/multiple large point heuristic
Clément Dombry, Charles Tillier, Olivier Wintenberger
We consider regular variation for marked point processes with independent heavy-tailed marks and prove a single large point heuristic: the limit measure is concentrated on the cone…