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Original Articles

Large Deviations of Poisson Cluster Processes

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Pages 593-625 | Received 01 Oct 2006, Accepted 01 Aug 2007, Published online: 02 Nov 2007
 

Abstract

In this paper we prove scalar and sample path large deviation principles for a large class of Poisson cluster processes. As a consequence, we provide a large deviation principle for ergodic Hawkes point processes.

Mathematics Subject Classification:

ACKNOWLEDGMENT

We thank Kamil Szczegot for reporting two mistakes and for a careful reading of a first draft of the paper.

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