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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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first_indexed 2020-12-10T11:39:49Z
last_indexed 2021-01-26T04:19:57Z
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spelling 2021-01-25T11:28:42.7448468 v2 55863 2020-12-10 An elementary derivation of moments of Hawkes processes 56dbf45233f1d80425924e81dc651635 Alan Hawkes Alan Hawkes true false 2020-12-10 SGMGT Journal Article Advances in Applied Probability 52 1 102 137 Cambridge University Press (CUP) 0001-8678 1475-6064 Hawkes process; Dynkin formula; moments; counting process; gamma decay function 1 3 2020 2020-03-01 10.1017/apr.2019.53 COLLEGE NANME School of Management COLLEGE CODE SGMGT Swansea University 2021-01-25T11:28:42.7448468 2020-12-10T11:37:47.9049635 School of Management Accounting and Finance Lirong Cui 1 Alan Hawkes 2 He Yi 3 55863__18860__57244ed0576f439d898c6e20776afd4b.pdf AAM.pdf 2020-12-10T11:38:56.8589511 Output 961022 application/pdf Accepted Manuscript true true eng
title An elementary derivation of moments of Hawkes processes
spellingShingle An elementary derivation of moments of Hawkes processes
Alan Hawkes
title_short An elementary derivation of moments of Hawkes processes
title_full An elementary derivation of moments of Hawkes processes
title_fullStr An elementary derivation of moments of Hawkes processes
title_full_unstemmed An elementary derivation of moments of Hawkes processes
title_sort An elementary derivation of moments of Hawkes processes
author_id_str_mv 56dbf45233f1d80425924e81dc651635
author_id_fullname_str_mv 56dbf45233f1d80425924e81dc651635_***_Alan Hawkes
author Alan Hawkes
author2 Lirong Cui
Alan Hawkes
He Yi
format Journal article
container_title Advances in Applied Probability
container_volume 52
container_issue 1
container_start_page 102
publishDate 2020
institution Swansea University
issn 0001-8678
1475-6064
doi_str_mv 10.1017/apr.2019.53
publisher Cambridge University Press (CUP)
college_str School of Management
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hierarchy_top_title School of Management
hierarchy_parent_id schoolofmanagement
hierarchy_parent_title School of Management
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published_date 2020-03-01T04:11:08Z
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