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math.PR2021
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…
math.PR2021
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…