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An elementary derivation of moments of Hawkes processes

Lirong Cui, Alan Hawkes, He Yi

Advances in Applied Probability, Volume: 52, Issue: 1, Pages: 102 - 137

Swansea University Author: Alan Hawkes

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DOI (Published version): 10.1017/apr.2019.53

Published in: Advances in Applied Probability
ISSN: 0001-8678 1475-6064
Published: Cambridge University Press (CUP) 2020
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URI: https://cronfa.swan.ac.uk/Record/cronfa55863
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Keywords: Hawkes process; Dynkin formula; moments; counting process; gamma decay function
College: School of Management
Issue: 1
Start Page: 102
End Page: 137