5 papers
Fixed-Point Estimation of the Drift Parameter in Stochastic Differential Equations Driven by Rough Multiplicative Fractional Noise
Chiara Amorino, Laure Coutin, Nicolas Marie
We investigate the problem of estimating the drift parameter from independent copies of the solution of a stochastic differential equation driven by a multiplicative fractional…
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…
Weak uniqueness for the PDE governing the joint law of a diffusion and its running supremum
Laure Coutin, Lorick Huang, Monique Pontier
In a previous work [8], it was shown that the joint law of a diffusion process and the running supremum of its first component is absolutely continuous, and that its density satisf…
Functional approximation of the marked Hawkes risk process
Laure Coutin, Mahmoud Khabou
The marked Hawkes risk process is a compound point process for which the occurrence and amplitude of past events impact the future. Thanks to its autoregressive properties, it foun…
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…