3 citations · 8 across the 13 of their papers we have counts for
14 papers
Explicit correlations for the Hawkes processes
Caroline Hillairet, Anthony Reveillac
In this paper we fill a gap in the literature by providing exact and explicit expressions for the correlation of general Hawkes processes together with its intensity process. Our m…
Normal approximation of compound Hawkes functionals
Mahmoud Khabou, Nicolas Privault, Anthony Reveillac
We derive quantitative bounds in the Wasserstein distance for the approximation of stochastic integrals with respect to Hawkes processes by a normally distributed random variable.…
On the chaotic expansion for counting processes
Caroline Hillairet, Anthony Reveillac
We introduce and study an alternative form of the chaotic expansion for counting processes using the Poisson imbedding representation; we name this alternative form \textit{pseudo-…
The Malliavin-Stein method for Hawkes functionals
Caroline Hillairet, Lorick Huang, Mahmoud Khabou +1
In this paper, following Nourdin-Peccati's methodology, we combine the Malliavin calculus and Stein's method to provide general bounds on the Wasserstein distance between functiona…
An expansion formula for Hawkes processes and application to cyber-insurance derivatives
Caroline Hillairet, Anthony Reveillac, Mathieu Rosenbaum
In this paper we provide an expansion formula for Hawkes processes which involves the addition of jumps at deterministic times to the Hawkes process in the spirit of the well-known…
Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure
Peter Imkeller, Olivier Menoukeu Pamen, Goncalo dos Reis +1
We investigate Weierstrass functions with roughness parameter that are Hölder continuous with coefficient Analytical access is provided by an embedd…