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math.PR2021
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…
math.PR2021★ 1 cited
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…