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

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