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math.PR2024
Scaling limits for supercritical nearly unstable Hawkes processes
Chenguang Liu, Liping Xu, An Zhang
In this paper, we investigate the asymptotic behavior of nearly unstable Hawkes processes whose regression kernel has norm strictly greater than one and close to one as time…
math.PR2024
Convergence rates for Backward SDEs driven by Lévy processes
Chenguang Liu, Antonis Papapantoleon, Alexandros Saplaouras
We consider Lévy processes that are approximated by compound Poisson processes and, correspondingly, BSDEs driven by Lévy processes that are approximated by BSDEs driven by their c…
math.PR2020
Rate of convergence of the Kac-like particle system
Chenguang Liu, Liping Xu
In this paper, we consider the Kac stochastic particle system associated to the spatially homogeneous Boltzmann equation for true hard potentials. We establish a rate of propagatio…