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Limit properties of continuous self-exciting processes

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  • Kim, Gunhee
  • Choe, Geon Ho

Abstract

We introduce a self-exciting continuous process based on Brownian motion, and derive its limit properties. We find conditions when the limit behaviors of the given process and its associated Hawkes process agree. The Kolmogorov–Smirnov test was applied to check the statistical similarity of the two processes.

Suggested Citation

  • Kim, Gunhee & Choe, Geon Ho, 2019. "Limit properties of continuous self-exciting processes," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
    • Handle: RePEc:eee:stapro:v:155:y:2019:i:c:9
    DOI: 10.1016/j.spl.2019.108558
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    References listed on IDEAS

    as
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