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most citedExact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes

1 citations · 2 across the 3 of their papers we have counts for

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math.PR2022★ 1 cited

Compound Multivariate Hawkes Processes: Large Deviations and Rare Event Simulation

Raviar S. Karim, Roger J. A. Laeven, Michel R. H. Mandjes

In this paper, we establish a large deviations principle for a multivariate compound process induced by a multivariate Hawkes process with random marks. Our proof hinges on showing…