Integration by parts formulas for marked Hawkes processes

Publication date: Available online 11 October 2018Source: Statistics & Probability LettersAuthor(s): Atsushi TakeuchiAbstractConsider the processes {Lt;t≥0} and {λt;t≥0} associated with a marked Hawkes process and its conditional intensity. In the present paper, the integration by parts formulas for those processes are constructed, and applied to the study on the absolute continuity for their conditional laws. Moreover, the sensitivity formulas for those processes with respect to the parameters are given.
Source: Statistics and Probability Letters - Category: Statistics Source Type: research