Name
Abstract | ||
|---|---|---|
In this paper we propose a stochastic process, which is a Cox-Ingersoll-Ross process with Hawkes jumps. It can be seen as a generalization of the classical Cox-Ingersoll-Ross process and the classical Hawkes process with exponential exciting function. Our model is a special case of the affine point processes. We obtain Laplace transforms and limit theorems, including the law of large numbers, central limit theorems, and large deviations. |
Year | Venue | Keywords |
|---|---|---|
2014 | JOURNAL OF APPLIED PROBABILITY | Cox-Ingersoll-Ross process, point process, Hawkes process, self-exciting process, central limit theorem, large deviations |
Field | DocType | Volume |
Central limit theorem,Exponential function,Laplace transform,Point process,Law of large numbers,Stochastic process,Large deviations theory,Statistics,Cox–Ingersoll–Ross model,Mathematics | Journal | 51 |
Issue | ISSN | Citations |
3 | 0021-9002 | 2 |
PageRank | References | Authors |
0.39 | 2 | 1 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Lingjiong Zhu | 1 | 19 | 7.41 |