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AN ELEMENTARY DERIVATION OF MOMENTS OF HAWKES PROCESSES

Cui, LR; Hawkes, A; Yi, H

Cui, LR (corresponding author), Beijing Inst Technol, Sch Math & Stat, Beijing 100081, Peoples R China.

ADVANCES IN APPLIED PROBABILITY, 2020; 52 (1): 102

Abstract

Hawkes processes have been widely used in many areas, but their probability properties can be quite difficult. In this paper an elementary approach is......

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