Salvato in:
| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| Soggetti: | |
| Accesso online: | https://arxiv.org/abs/2504.16737 |
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Sommario:
- In this paper, we establish the asymptotic behavior of {\it supercritical} nearly unstable Hawkes processes with a power law kernel. We find that, the Hawkes process in our context admits a similar equation to that in \cite{MR3563196} for {\it subcritical} case. In particular, the rescaled Hawkes process $(Z^n_{nt}/n^{2α})_{t\in[0,1]}$ converges in law to a kind of integrated fractional Cox Ingersoll Ross process with different coefficients from that in \cite{MR3563196}, as $n$ tends to infinity.