64 citations · 133 across the 20 of their papers we have counts for
24 papers
Multivariate Self-Exciting Processes with Dependencies
Caroline Hillairet, Thomas Peyrat, Anthony Réveillac
This paper introduces the class of multidimensional self-exciting processes with dependencies (MSPD), which is a unifying writing for a large class of processes: counting, loss, in…
Quantification of limit theorems for Hawkes processes
Laure Coutin, Benjamin Massat, Anthony Réveillac
In this article, we fill a gap in the literature regarding quantitative functional central limit theorems (qfCLT) for Hawkes processes by providing an upper bound for the convergen…
Normal approximation of Functionals of Point Processes: Application to Hawkes Processes
Laure Coutin, Benjamin Massat, Anthony Réveillac
In this paper, we derive an explicit upper bound for the Wasserstein distance between a functional of point processes and a Gaussian distribution. Using Stein's method in conjuncti…
Poisson imbedding meets the Clark-Ocone formula
Caroline Hillairet, Thomas Peyrat, Anthony Réveillac
In this paper we develop a representation formula of Clark-Ocone type for any integrable Poisson functionals, which extends the Poisson imbedding for point processes. This represen…
The It{ô}-Tanaka Trick: a non-semimartingale approach
Laure Coutin, Romain Duboscq, Anthony Réveillac
In this paper we provide an It{ô}-Tanaka-Wentzell trick in a non semimartingale context. We apply this result to the study of a fractional SDE with irregular drift coefficient.
Analysis of the Risk-Sharing Principal-Agent problem through the Reverse-H{ö}lder inequality
Jessica Martin, Anthony Réveillac
In this paper we provide an alternative framework to tackle the first-best Principal-Agent problem under CARA utilities. This framework leads to both a proof of existence and uniqu…