1 citations · 2 across the 4 of their papers we have counts for
4 papers · 1 filter
Mean-Field Limits for Nearly Unstable Hawkes Processes
Grégoire Szymanski, Wei Xu
In this paper, we establish general scaling limits for nearly unstable Hawkes processes in a mean-field regime by extending the method introduced by Jaisson and Rosenbaum. Under a…
Scaling Limit Theorems for Multivariate Hawkes Processes and Stochastic Volterra Equations with Measure Kernel
Wei Xu
This paper is devoted to establishing the full scaling limit theorems for multivariate Hawkes processes. Under some mild conditions on the exciting kernels, we develop a new way to…
Asymptotics for Exponential Functionals of Random Walks
Wei Xu
This paper provides a detailed description for the asymptotics of exponential functionals of random walks with light/heavy tails. We give the convergence rate based on the key obse…
Asymptotic Results for Rough Continuous-state Branching Processes
Wei Xu
In this paper we provide explicit representations of Laplace transforms of extinction time and total progeny of rough continuous-state branching processes introduced in [7]. Also,…