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Integration by parts formulas for marked Hawkes processes

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  • Takeuchi, Atsushi

Abstract

Consider the processes {Lt;t≥0} and {λt;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.

Suggested Citation

  • Takeuchi, Atsushi, 2019. "Integration by parts formulas for marked Hawkes processes," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 229-237.
    • Handle: RePEc:eee:stapro:v:145:y:2019:i:c:p:229-237
    DOI: 10.1016/j.spl.2018.10.003
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    References listed on IDEAS

    as
    1. Bacry, E. & Delattre, S. & Hoffmann, M. & Muzy, J.F., 2013. "Some limit theorems for Hawkes processes and application to financial statistics," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2475-2499.
    2. Emmanuel Bacry & Sylvain Delattre & Marc Hoffmann & Jean-François Muzy, 2013. "Some limit theorems for Hawkes processes and application to financial statistics," Post-Print hal-01313994, HAL.
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