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math.PR2024
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…
math.PR2024
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…