Proves convergence in law of normalized empirical measures and counting processes for critical marked Hawkes processes to stable or Gaussian limits depending on mark tail behavior, using a new robust method for self-exciting systems.
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A generalized central limit theorem for critical marked Hawkes processes
Proves convergence in law of normalized empirical measures and counting processes for critical marked Hawkes processes to stable or Gaussian limits depending on mark tail behavior, using a new robust method for self-exciting systems.