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Moderate deviations for marked Hawkes processes |
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| Authors: | Youngsoo Seol |
| Institution: | Department of Mathematics and Statistics, University of South Florida, Tampa, FL 33620, USA |
| Abstract: | We consider a linear Hawkes process with random marks. Some limit theorems have been studied by Karabash and Zhu Stoch. Models, 31, 433–451 (2015)]. In this paper, we obtain a moderate deviation principle for marked Hawkes processes. |
| Keywords: | Marked Hawkes processes self-exciting processes moderate deviation principles large deviations Hawkes processes |
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