Back to Search
Start Over
Integration by parts formulas for marked Hawkes processes.
- Source :
-
Statistics & Probability Letters . Feb2019, Vol. 145, p229-237. 9p. - Publication Year :
- 2019
-
Abstract
- Abstract Consider the processes { L t ; t ≥ 0 } and { λ t ; t ≥ 0 } associated with a marked Hawkes process and its conditional intensity. In the present paper, the integration by parts formulas for those processes are constructed, and applied to the study on the absolute continuity for their conditional laws. Moreover, the sensitivity formulas for those processes with respect to the parameters are given. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 01677152
- Volume :
- 145
- Database :
- Academic Search Index
- Journal :
- Statistics & Probability Letters
- Publication Type :
- Periodical
- Accession number :
- 133519450
- Full Text :
- https://doi.org/10.1016/j.spl.2018.10.003