Gordan Žitković

A Superprocess-based Approach to Rough CIR Processes and Feller Random Measures

Feller random measures generalize the Feller diffusion (the CIR process) by giving it memory. They arise as the scaling limits of nearly unstable Hawkes processes, and include the rough CIR process and its hyper-rough and discontinuous relatives. We show that every Feller random measure is the occupation measure of a D...