Normal approximation of compound Hawkes functionals
We derive quantitative bounds in the Wasserstein distance for the approximation of stochastic integrals with respect to Hawkes processes by a normally distributed random variable. In the case of deterministic and nonnegative integrands, our estimates involve only the third moment of the integrand in...
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| Main Authors: | , , |
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| 格式: | Article |
| 語言: | English |
| 出版: |
2023
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| 在線閱讀: | https://hdl.handle.net/10356/172793 |
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