2 papers
math.ST2019
Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
Charlotte Dion, Sarah Lemler
We consider a 1-dimensional diffusion process X with jumps. The particularity of this model relies in the jumps which are driven by a multidimensional Hawkes process denoted N. Thi…
math.PR2019
Exponential ergodicity for diffusions with jumps driven by a Hawkes process
Charlotte Dion, Sarah Lemler, Eva Löcherbach
In this paper, we introduce a new class of processes which are diffusions with jumps driven by a multivariate nonlinear Hawkes process. Our goal is to study their long-time behavio…