지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
오류제보하기
Hawkes process is a self-exciting simple point process with clustering effect whose jump rate depends on its entire past history and has been widely applied in insurance, finance, queueing theory, statistics, and many other fields. Seol~\cite{Seol5} proposed the inverse Markovian Hawkes processes and studied some asymptotic behaviors. In this paper, we consider an extended inverse Markovian Hawkes process which combines a Markovian Hawkes process and inverse Markovian Hawkes process with features of several existing models of self-exciting processes. We study the limit theorems for an extended inverse Markovian Hawkes process. In particular, we obtain a law of large number and central limit theorems.
목차
등록된 정보가 없습니다.
참고문헌 (34)
참고문헌 신청
E. Bacry / 2012 / Scaling limits for Hawkes processes and application to nancial statistics / Stochastic Process. Appl 123:2475~2499
C. Bordenave / 2007 / Large deviations of Poisson cluster processes / Stoch.Models 23:593~625
P. Br´emaud / 1996 / Stability of nonlinear Hawkes processes / Ann. Probab 24:1563~1588
D. J. Daley / 2003 / An Introduction to the Theory of Point Processes, Volume I and II / Springer
A. Dassios / 2011 / A dynamic contagion process / Adv. in Appl. Probab 43:814~846
C. Bordenave / 2007 / Large deviations of Poisson cluster processes / Stoch.Models 23:593~625
P. Br´emaud / 1996 / Stability of nonlinear Hawkes processes / Ann. Probab 24:1563~1588
D. J. Daley / 2003 / An Introduction to the Theory of Point Processes, Volume I and II / Springer
A. Dassios / 2011 / A dynamic contagion process / Adv. in Appl. Probab 43:814~846
함께 읽어보면 좋을 논문
논문 유사도에 따라 DBpia 가 추천하는 논문입니다. 함께 보면 좋을 연관 논문을 확인해보세요!
-
Limit theorems for Hawkes processes with uniform immigrants
대한수학회지
2019 .01
-
Application of GTH-like algorithm to Markov modulated Brownian motion with jumps
CSAM(Communications for Statistical Applications and Methods)
2021 .09
-
On the Transmission of Jumps among Asian Major Currency Exchange Rates
Journal of The Korean Data Analysis Society
2016 .01
-
Some expressions for the inverse integral transform via the translation theorem on function space
대한수학회지
2016 .01
-
토양의 수분이동 특성 결정을 위한 inverse modeling
대한지질학회 학술대회
2019 .10
-
Inverse problem for a partial difference equation of the higher order
Advanced Studies in Contemporary Mathematics
2016 .01
-
Note on the Generalized Invertibility of a-xy
Kyungpook Mathematical Journal
2015 .01
-
Weighted gDMP inverse of operators between Hilbert spaces
대한수학회보
2018 .01
-
Single Change-point Tests for P-order Autoregressive Models
Quantitative Bio-Science
2019 .11
-
EXPANSIVITY ON ORBITAL INVERSE LIMIT SYSTEMS
충청수학회지
2019 .01
-
DISCRETE-TIME BUFFER SYSTEMS WITH SESSION-BASED ARRIVALS AND MARKOVIAN OUTPUT INTERRUPTIONS
Journal of applied mathematics & informatics
2015 .01
-
Extended inverse theorems for restricted sumset in integers
대한수학회보
2024 .09
-
A TRACE-TYPE FUNCTIONAL METHOD FOR DETERMINATION OF A COEFFICIENT IN AN INVERSE HEAT CONDUCTION PROBLEM
Journal of applied mathematics & informatics
2017 .01
-
ON CHARACTERIZATIONS OF THE INVERSE WEIBULL DISTRIBUTION BASED ON RECORD VALUES
Journal of applied mathematics & informatics
2018 .01
-
여러 서버배정방식의 멀티클래스 손실시스템 연구
응용통계연구
2016 .06
-
SOME SHADOWING PROPERTIES OF THE SHIFTS ON THE INVERSE LIMIT SPACES
충청수학회지
2018 .01
-
Modified inverse moment estimation: its principle and applications
CSAM(Communications for Statistical Applications and Methods)
2016 .11
-
Determination of Unknown Time-Dependent Heat Source in Inverse Problems under Nonlocal Boundary Conditions by Finite Integration Method
Kyungpook Mathematical Journal
2024 .06
-
Iterative projection of sliced inverse regression with fused approach
CSAM(Communications for Statistical Applications and Methods)
2021 .03
-
LOCAL SYNCHRONIZATION OF MARKOVIAN NEURAL NETWORKS WITH NONLINEAR COUPLING
Journal of applied mathematics & informatics
2017 .01
이 논문의 저자 정보
최근 본 자료
댓글(0)
0