Stability, convergence to equilibrium and simulation of non-linear Hawkes processes with memory kernels given by the sum of Erlang kernels

DOI10.1051/ps/2019005zbMath1506.60051arXiv1610.03300OpenAlexW2964322139WikidataQ98839696 ScholiaQ98839696MaRDI QIDQ5881047

Aline Duarte, Guilherme Ost, Eva Löcherbach

Publication date: 9 March 2023

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.03300

zbMATH Keywords

couplingHawkes processespiecewise deterministic Markov processlongtime behaviourErlang kernels

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Jump processes on general state spaces (60J76)

Related Items (13)

Interacting Hawkes processes with multiplicative inhibition ⋮ Mean-field limit of age and leaky memory dependent Hawkes processes ⋮ Limit theorems for Hawkes processes including inhibition ⋮ Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes ⋮ The Malliavin-Stein method for Hawkes functionals ⋮ Long Time Behavior of an Age- and Leaky Memory-Structured Neuronal Population Equation ⋮ Spectral Theory for Random Poincaré Maps ⋮ Nonlinear Poisson autoregression and nonlinear Hawkes processes ⋮ A palm space approach to non-linear Hawkes processes ⋮ Spiking neurons : interacting Hawkes processes, mean field limits and oscillations ⋮ Modified log-Sobolev inequality for a compact pure jump Markov process with degenerate jumps ⋮ Diffusion approximation of multi-class Hawkes processes: Theoretical and numerical analysis ⋮ Regenerative properties of the linear Hawkes process with unbounded memory

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