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math.PR2025
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…
math.PR2024
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…
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…