Diffusion approximation of multi-class Hawkes processes: theoretical and numerical analysis

J. Chevallier; A. Melnykova; Irene Tubikanec

doi:10.1017/apr.2020.73

Diffusion approximation of multi-class Hawkes processes: theoretical and numerical analysis

J. Chevallier, A. Melnykova, Irene Tubikanec

Institute of Stochastics

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	716-756
Number of pages	41
Journal	Advances in Applied Probability
Volume	53
Issue number	3
DOIs	https://doi.org/10.1017/apr.2020.73
Publication status	Published - 2021

Fields of science

101 Mathematics
101014 Numerical mathematics
101018 Statistics
101019 Stochastics
101024 Probability theory

JKU Focus areas

Digital Transformation

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10.1017/apr.2020.73

Cite this

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title = "Diffusion approximation of multi-class Hawkes processes: theoretical and numerical analysis",

author = "J. Chevallier and A. Melnykova and Irene Tubikanec",

year = "2021",

doi = "10.1017/apr.2020.73",

language = "English",

volume = "53",

pages = "716--756",

journal = "Advances in Applied Probability",

issn = "1475-6064",

number = "3",

}

TY - JOUR

T1 - Diffusion approximation of multi-class Hawkes processes: theoretical and numerical analysis

AU - Chevallier, J.

AU - Melnykova, A.

AU - Tubikanec, Irene

PY - 2021

Y1 - 2021

UR - https://www.scopus.com/pages/publications/85117290508

U2 - 10.1017/apr.2020.73

DO - 10.1017/apr.2020.73

M3 - Article

SN - 1475-6064

VL - 53

SP - 716

EP - 756

JO - Advances in Applied Probability

JF - Advances in Applied Probability

IS - 3

ER -

Diffusion approximation of multi-class Hawkes processes: theoretical and numerical analysis

Fields of science

JKU Focus areas

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