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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
Abstract
An elementary derivation of moments of Hawkes processes
| Published in: | Advances in Applied Probability |
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| ISSN: | 0001-8678 1475-6064 |
| Published: |
Cambridge University Press (CUP)
2020
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| Online Access: |
Check full text
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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 |
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| College: |
Faculty of Humanities and Social Sciences |
| Issue: |
1 |
| Start Page: |
102 |
| End Page: |
137 |