Explicit correlations for the Hawkes processes * - Ensai, Ecole Nationale de la Statistique et de l'Analyse de l'Information Access content directly
Preprints, Working Papers, ... Year : 2023

Explicit correlations for the Hawkes processes *

Abstract

In this paper we fill a gap in the literature by providing exact and explicit expressions for the correlation of general Hawkes processes together with its intensity process. Our methodology relies on the Poisson imbedding representation and on recent findings on Malliavin calculus and pseudo-chaotic representation for counting processes.
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Dates and versions

hal-04058740 , version 1 (05-04-2023)

Identifiers

  • HAL Id : hal-04058740 , version 1

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Caroline Hillairet, Anthony Réveillac. Explicit correlations for the Hawkes processes *. 2023. ⟨hal-04058740⟩
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