This article focuses on limit theorems for linear Hawkes processes with random marks. We prove a large deviation principle, which answers the question raised by Bordenave and Torrisi. A central limit theorem is also obtained. We conclude with an example of application in finance.
Bibliographical noteFunding Information:
The authors are both supported by NSF grant DMS-0904701, DARPA grant and MacCracken Fellowship at New York University.
- Central limit theorem
- Hawkes processes
- Large deviations
- Marked point processes
- Self-exciting processes