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On the Hawkes process with different exciting functions

Behzad Mehrdad & Lingjiong Zhu

Stochastics: an international journal of probability and stochastic processes2025https://doi.org/10.1080/17442508.2025.2524449article
ABDC B
Weight
0.52

What the paper says

The Hawkes process is a simple point process, whose intensity function depends on the entire past history and is self-exciting and has the clustering property. The Hawkes process is in general non-Markovian. The linear Hawkes process has immigration-birth representation. Based on that, Fierro et al. recently introduced a generalized linear Hawkes model with different exciting functions. In this paper, we study the convergence to equilibrium, large deviation principle, and moderate deviation principle for this generalized model. This model also has connections to the multivariate linear Hawkes process. Some applications to finance are also discussed.

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https://doi.org/https://doi.org/10.1080/17442508.2025.2524449

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@article{behzad2025,
  title        = {{On the Hawkes process with different exciting functions}},
  author       = {Behzad Mehrdad & Lingjiong Zhu},
  journal      = {Stochastics: an international journal of probability and stochastic processes},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1080/17442508.2025.2524449},
}

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On the Hawkes process with different exciting functions

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Evidence weight

0.52

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.55 × 0.4 = 0.22
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.