The Hawkes Process with Different Exciting Functions and its Asymptotic Behavior
2015 ◽
Vol 52
(01)
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pp. 37-54
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Keyword(s):
The standard Hawkes process is constructed from a homogeneous Poisson process and uses the same exciting function for different generations of offspring. We propose an extension of this process by considering different exciting functions. This consideration may be important in a number of fields; e.g. in seismology, where main shocks produce aftershocks with possibly different intensities. The main results are devoted to the asymptotic behavior of this extension of the Hawkes process. Indeed, a law of large numbers and a central limit theorem are stated. These results allow us to analyze the asymptotic behavior of the process when unpredictable marks are considered.
2015 ◽
Vol 52
(1)
◽
pp. 37-54
◽
2016 ◽
Vol 53
(1)
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pp. 307-314
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1991 ◽
Vol 12
(3)
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pp. 293-326
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Keyword(s):
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2005 ◽
Vol 134
(2)
◽
pp. 215-247
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Keyword(s):
1999 ◽
Vol 96
(5)
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pp. 3455-3471
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1983 ◽
Vol 13
(2)
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pp. 287-301
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Keyword(s):
1969 ◽
Vol 136
◽
pp. 545
Keyword(s):