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- W2897418856 abstract "Abstract Consider the processes { L t ; t ≥ 0 } and { λ t ; t ≥ 0 } associated with a marked Hawkes process and its conditional intensity. In the present paper, the integration by parts formulas for those processes are constructed, and applied to the study on the absolute continuity for their conditional laws. Moreover, the sensitivity formulas for those processes with respect to the parameters are given." @default.
- W2897418856 created "2018-10-26" @default.
- W2897418856 creator A5060459221 @default.
- W2897418856 date "2019-02-01" @default.
- W2897418856 modified "2023-10-16" @default.
- W2897418856 title "Integration by parts formulas for marked Hawkes processes" @default.
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- W2897418856 doi "https://doi.org/10.1016/j.spl.2018.10.003" @default.
- W2897418856 hasPublicationYear "2019" @default.
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