The Malliavin-Stein method for Hawkes functionals (ALEA). Link
Normal approximation of compound Hawkes functionals (Journal of Theoretical Probability). Link
Nonlinear Poisson autoregression and nonlinear Hawkes processes (Stochastic Processes and their Applications). Link
Gaussian Approximation and Moderate Deviations of Poisson Shot Noises with Application to Compound Generalized Hawkes Processes (Advances in Applied Probability). Link
The Malliavin-Stein method for the multivariate compound Hawkes process. Link
Functional approximation of the marked Hawkes risk process. Link (Accepted in Advances in Applied Probability)
The Markov approximation of the periodic multivariate Poisson autoregression. Link
Markov approximation for controlled Hawkes Jump-Diffusions with general kernels. Link
Ed Cohen, Laure Coutin, Caroline Hillairet, Lorick Huang, Nicolas Privault, Anthony Réveillac, Mehdi Talbi,
Giovanni Luca Torrisi and Almut Veraart.