5 papers
Convergence of the Discrete-Time Compound Hawkes Processwith Exponential or Erlang Kernel
Lorick Huang, Mahmoud Khabou
Due to its clustering and self-exciting properties, the Hawkes process has been used extensively in numerous fields ranging from sismology to finance. Since data is often aquired o…
The Malliavin-Stein method for Hawkes functionals
Caroline Hillairet, Lorick Huang, Mahmoud Khabou +1
In this paper, following Nourdin-Peccati's methodology, we combine the Malliavin calculus and Stein's method to provide general bounds on the Wasserstein distance between functiona…
A Local Limit Theorem for Robbins-Monro Procedure
Lorick Huang, V Konakov
The Robbins-Monro algorithm is a recursive, simulation-based stochastic procedure to approximate the zeros of a function that can be written as an expectation. It is known that und…
A Multi-Step Richardson-Romberg Extrapolation Method For Stochastic Approximation
Noufel Frikha, Lorick Huang
We obtain an expansion of the implicit weak discretization error for the target of stochastic approximation algorithms introduced and studied in [Frikha2013]. This allows us to ext…
A Parametrix Approach for some Degenerate Stable Driven SDEs
Lorick Huang, Stephane Menozzi
We consider a stable driven degenerate stochastic differential equation, whose coefficients satisfy a kind of weak H{ö}rmander condition. Under mild smoothness assumptions we prove…