Limit Theorems for Marked Hawkes Processes with Application to a Risk Model

Abstract

This paper 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 Torrisi. A central limit theorem is also obtained. We conclude with an example of application in finance.

14 pages

References in corpus (2)

• Special invited paper. Large deviations
• On Stability of Hawkes Process

Cited by in corpus (3)

• Nonlinear Hawkes Processes
• On Stability of Hawkes Process
• Asymptotics for a Class of Self-Exciting Point Processes