most citedScaling limit of heavy tailed nearly unstable cumulative INAR() processes and rough fractional diffusions

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math.PR2024★ 1 cited

Scaling limit of heavy tailed nearly unstable cumulative INAR() processes and rough fractional diffusions

Yingli Wang, Chunhao Cai, Ping He +1

In this paper, we investigate the scaling limit of heavy-tailed nearly unstable cumulative INAR() processes. These processes exhibit a power-law tail of the form $n^{-(1+α)…

math.PR2023

Precise Deviations for discrete marked Hawkes processes

Yingli Wang, Ping He

In this paper, we study precise deviations including precise large deviations and moderate deviations for discrete marked Hawkes processes for large time asymptotics by using mod-$…