Process-Level Large Deviations for Nonlinear Hawkes Point Processes

Abstract

In this paper, we prove a process-level, also known as level-3 large deviation principle for a very general class of simple point processes, i.e. nonlinear Hawkes process, with a rate function given by the process-level entropy, which has an explicit formula.

30 pages

References in corpus (2)

• Special invited paper. Large deviations
• Scaling limits for Hawkes processes and application to financial statistics

Cited by in corpus (2)

• Nonlinear Hawkes Processes
• On Stability of Hawkes Process