Integration by parts formulas for marked Hawkes processes

Atsushi Takeuchi

Statistics & Probability Letters, 2019, vol. 145, issue C, 229-237

Abstract: Consider the processes {Lt;t≥0} and {λt;t≥0} associated with a marked Hawkes process and its conditional intensity. In the present paper, the integration by parts formulas for those processes are constructed, and applied to the study on the absolute continuity for their conditional laws. Moreover, the sensitivity formulas for those processes with respect to the parameters are given.

Keywords: Hawkes process; Conditional intensity; Integration by parts formulas (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2018.10.003

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