Central limit theorem for nonlinear hawkes processes

Lingjiong Zhu

Research output: Contribution to journalArticlepeer-review

36 Scopus citations

Abstract

The Hawkes process is a self-exciting point process with clustering effect whose intensity depends on its entire past history. It has wide applications in neuroscience, finance, and many other fields. In this paper we obtain a functional central limit theorem for the nonlinear Hawkes process. Under the same assumptions, we also obtain a Strassen's invariance principle, i.e. a functional law of the iterated logarithm.

Original languageEnglish (US)
Pages (from-to)760-771
Number of pages12
JournalJournal of Applied Probability
Volume50
Issue number3
DOIs
StatePublished - Sep 2013

Keywords

  • Central limit theorem
  • Functional central limit theorem
  • Hawkes process
  • Point process
  • Self-exciting process

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