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Explicit correlations for the Hawkes processes

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arxiv 2304.02376 v1 pith:L5G6ODR3 submitted 2023-04-05 math.PR

Caroline Hillairet , Anthony Reveillac This is my paper · ORCID
classification math.PR
keywords processesexplicithawkesrepresentationcalculuscorrelationcorrelationscounting
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In this paper we fill a gap in the literature by providing exact and explicit expressions for the correlation of general Hawkes processes together with its intensity process. Our methodology relies on the Poisson imbedding representation and on recent findings on Malliavin calculus and pseudo-chaotic representation for counting processes.

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Cited by 1 Pith paper

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  1. Functional Laplace Transform of a Multivariate Hawkes Process, Subsequent Characteristics, and Numerical Approximations

    math.PR 2025-07 conditional novelty 6.0 of 10

    A system of Volterra-like integral equations characterizes the multi-temporal Laplace transform and two-time covariance of non-stationary multivariate Hawkes processes.

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