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20152026
most citedSimulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations

5 citations · 5 across the 5 of their papers we have counts for

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math.PR2020

Self-exciting jump processes and their asymptotic behaviour

Kristina Rognlien Dahl, Heidar Eyjolfsson

The purpose of this paper is to investigate properties of self-exciting jump processes. We derive the Laplace transform of SDE driven self-exciting processes with independent, iden…