Limit theorems for non linear (compound marked) Hawkes processes
Abstract
In this article, we fill a gap in the literature on Hawkes processes. In particular, we derive a CLT for a non linear compound marked Hawkes process. We also provide an upper bound on the convergence rate using the functional 1-Wasserstein distance. This result is obtained by discretizing the time line and reducing the problem to the quantification of the distance between finite marginal vectors, as well as between the discretized process and the original one.
Fields of Study & Subjects
Point processes and geometric inequalities
Stochastic processes and financial applications
Stochastic processes and statistical mechanics
Publication details
- Journal / source
- arXiv (Cornell University)
- Publication date
- 26 January 2026
- Language
- EN
- Document type
- Preprint