Functional approximation of the marked Hawkes risk process
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866916387854745600 |
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| author | Coutin, Laure Khabou, Mahmoud |
| author_facet | Coutin, Laure Khabou, Mahmoud |
| contents | The marked Hawkes risk process is a compound point process for which the occurrence and amplitude of past events impact the future. Thanks to its autoregressive properties, it found applications in various fields such as neuosciences, social networks and insurance.Since data in real life is acquired over a discrete time grid, we propose a strong discrete-time approximation of the continuous-time Hawkes risk process obtained be embedding from the same Poisson measure. We then prove trajectorial convergence results both in some fractional Sobolev spaces and in the Skorokhod space, hence extending the theorems proven in the literature. We also provide upper bounds on the convergence speed with explicit dependence on the size of the discretisation step, the time horizon and the regularity of the kernel. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_06276 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Functional approximation of the marked Hawkes risk process Coutin, Laure Khabou, Mahmoud Probability The marked Hawkes risk process is a compound point process for which the occurrence and amplitude of past events impact the future. Thanks to its autoregressive properties, it found applications in various fields such as neuosciences, social networks and insurance.Since data in real life is acquired over a discrete time grid, we propose a strong discrete-time approximation of the continuous-time Hawkes risk process obtained be embedding from the same Poisson measure. We then prove trajectorial convergence results both in some fractional Sobolev spaces and in the Skorokhod space, hence extending the theorems proven in the literature. We also provide upper bounds on the convergence speed with explicit dependence on the size of the discretisation step, the time horizon and the regularity of the kernel. |
| title | Functional approximation of the marked Hawkes risk process |
| topic | Probability |
| url | https://arxiv.org/abs/2409.06276 |