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I am looking into an introdoction in Hawkes processes (self-exciting processes). Are there books or lecture notes that explain the math behind it, or a chapter in a more general book? I haven't found anything good so far, so every recommendation is appreciated.

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Hawkes Processes by Patrick J. Laub, Thomas Taimre, Philip K. Pollett is a short article that introduces Hawkes Processes.

For the more mathematical theory, this can be found in Daley and Vere-Jones' An Introduction to the Theory of Point Processes: Volume I. Note however that they are focused on the general theory of point processes, and they show how this general theory applies to Hawkes processes only in examples.

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