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math.PR2022
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.…
math.PR2022★ 3 cited
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-…