Moments for Hawkes Processes with Gamma Decay Kernel Functions

被引：0
作者：
Lirong Cui
Bei Wu
Juan Yin
机构：
[1] Qingdao University,College of Quality and Standardization
[2] Northwestern Polytechnical University,School of Management
[3] School of Management & Economics,School of Management
[4] Beijing Institute of Technology,undefined
来源：
Methodology and Computing in Applied Probability | 2022年 / 24卷
关键词：
Hawkes process; Moments; Gamma decay kernel function; Compound gamma decay kernel function; Dynkin’s formula;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Hawkes processes have been widely studied, but their many probability properties are still difficult to obtain, including their moments. In the paper, we shall give the moments for two classes of linear Hawkes processes with Gamma decay kernel and compound Gamma decay kernel functions by employing the method proposed by Cui et al. (2020), and the relationship between our results and those obtained by employing Dynkin’s formula is studied. Finally, the computation complexity of numbers of first-order linear differential equations is considered.
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页码：1565 / 1601
页数：36
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