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: | Khabou, Mahmoud, Privault, Nicolas, Réveillac, Anthony |
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Other Authors: | School of Physical and Mathematical Sciences |
Format: | Article |
Language: | English |
Published: |
2023
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Subjects: | |
Online Access: | https://hdl.handle.net/10356/172793 |
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Institution: | Nanyang Technological University |
Language: | English |
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