Student Probability Seminar

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Large Deviations for Hawkes Process

Speaker: Ling Zhu

Location: Warren Weaver Hall 512

Date: Friday, December 2, 2011, 3:30 p.m.

Synopsis:

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.