Process-Level Large Deviations for General Hawkes Processes

Details Process-Level Large Deviations for General Hawkes Processes Process-Level Large Deviations for General Hawkes Processes

2011-08-11

arxiv.org/abs/1108.2431v1

Mathematics

Probability

28 pages

Scientific paper

Hawkes process is a point process widely applicable and has been extensively
studied, especially for the linear case. The large deviation result for the
linear case is known. In this paper, we prove a process-level, also known as
level-3 large deviation principle for nonlinear Hawkes process. We then use the
contraction principle to obtain the level-1 large deviation principle.

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