Explicit correlations for the Hawkes processes

Caroline Hillairet; Anthony Réveillac

doi:10.1080/17442508.2025.2603365

Explicit correlations for the Hawkes processes

Caroline Hillairet
, Anthony Réveillac

Université de Toulouse

Research output: Contribution to journal › Article › peer-review

Abstract

This paper provides exact and explicit expressions for the correlation of general Hawkes processes together with its intensity process. Our methodology relies on the Poisson imbedding representation and on recent findings on Malliavin calculus and pseudo-chaotic representation for counting processes.

Original language	English
Journal	Stochastics
DOIs	https://doi.org/10.1080/17442508.2025.2603365
Publication status	Accepted/In press - 1 Jan 2025

Keywords

Hawkes processes
Malliavin calculus
Poisson imbedding representation

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10.1080/17442508.2025.2603365

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KW - Malliavin calculus

KW - Poisson imbedding representation

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SN - 1744-2508

JO - Stochastics

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Explicit correlations for the Hawkes processes

Abstract

Keywords

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