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math.PR2024★ 1 cited
Gaussian Approximation and Moderate Deviations of Poisson Shot Noises with Application to Compound Generalized Hawkes Processes
Mahmoud Khabou, Giovanni Luca Torrisi
In this article, we give explicit bounds on the Wasserstein and the Kolmogorov distances between random variables lying in the first chaos of the Poisson space and the standard Nor…
math.PR2024
Functional approximation of the marked Hawkes risk process
Laure Coutin, Mahmoud Khabou
The marked Hawkes risk process is a compound point process for which the occurrence and amplitude of past events impact the future. Thanks to its autoregressive properties, it foun…