Process-level large deviations for nonlinear Hawkes point processes
Zhu, Lingjiong
Annales de l'I.H.P. Probabilités et statistiques, Tome 50 (2014), p. 845-871 / Harvested from Numdam
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Dans cet article nous prouvons un principe de grandes déviations de niveau trois pour une classe très générale de processus ponctuels, c'est à dire les processus de Hawkes non-linéaires ; nous obtenons une formule explicite pour la fonctionnelle de taux, donnée par l'entropie au niveau du processus.

In this paper, we prove a process-level, also known as level-3 large deviation principle for a very general class of simple point processes, i.e. nonlinear Hawkes process, with a rate function given by the process-level entropy, which has an explicit formula.

Publié le : 2014-01-01
DOI : https://doi.org/10.1214/12-AIHP532
Classification:  60G55,  60F10 
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     author = {Zhu, Lingjiong},
     title = {Process-level large deviations for nonlinear Hawkes point processes},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     volume = {50},
     year = {2014},
     pages = {845-871},
     doi = {10.1214/12-AIHP532},
     mrnumber = {3224291},
     zbl = {1296.60129},
     language = {en},
     url = {http://dml.mathdoc.fr/item/AIHPB_2014__50_3_845_0}
}

Zhu, Lingjiong. Process-level large deviations for nonlinear Hawkes point processes. Annales de l'I.H.P. Probabilités et statistiques, Tome 50 (2014) pp. 845-871. doi : 10.1214/12-AIHP532. http://gdmltest.u-ga.fr/item/AIHPB_2014__50_3_845_0/

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