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math.PR2012★ 6 cited
Limit Theorems for Marked Hawkes Processes with Application to a Risk Model
Dmytro Karabash, Lingjiong Zhu
This paper focuses on limit theorems for linear Hawkes processes with random marks. We prove a large deviation principle, which answers the question raised by Bordenave and Torrisi…
math.PR2012★ 9 cited
On Stability of Hawkes Process
Dmytro Karabash
Existence and stability properties are studied for Hawkes process, i.e. point process that has long-memory and intensity . T…