Student Probability Seminar
Large Deviations for Hawkes Process
Speaker: Ling Zhu
Location: Warren Weaver Hall 512
Date: Friday, December 2, 2011, 3:30 p.m.
Hawkes process is a self-exciting process that has been extensively studied and applied in various fields, especially in the case of linear rate. In this talk, I will establish a large deviation principle of nonlinear Markovian Hawkes process, i.e. with nonlinear rate function and exponential or sum of exponentials exciting function. Then, I will state and talk the ideas of the proof of a process-level, i.e. level-3 large deviation principle for general nonlinear Hawkes process.