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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
journal	Stochastics
Les DOIs	https://doi.org/10.1080/17442508.2025.2603365
état	Accepté/En presse - 1 janv. 2025

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10.1080/17442508.2025.2603365

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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.",

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JO - Stochastics

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Explicit correlations for the Hawkes processes

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