Diffusion approximation of multi-class Hawkes processes: theoretical and numerical analysis
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diffusion processesHawkes processesneuronal modelsnumerical splitting schemespiecewise deterministic Markov processesstochastic differential equations
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Continuous-time Markov processes on general state spaces (60J25) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30)
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- Multi-class oscillating systems of interacting neurons
Cites work
- A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations
- A Lie algebraic approach to numerical integration of stochastic differential equations
- A stochastic version of the jansen and rit neural mass model: analysis and numerics
- Affine Volterra processes
- Analysis of some splitting schemes for the stochastic Allen-Cahn equation
- Density estimates for a random noise propagating through a chain of differential equations
- Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
- Exact simulation of Hawkes process with exponentially decaying intensity
- Geometric Numerical Integration
- Goodness-of-fit tests and nonparametric adaptive estimation for spike train analysis
- Hawkes processes on large networks
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- scientific article; zbMATH DE number 3664138 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
- Large deviations for cascades of diffusions arising in oscillating systems of interacting Hawkes processes
- Maximum likelihood identification of neural point process systems
- Microscopic approach of a time elapsed neural model
- Molecular dynamics. With deterministic and stochastic numerical methods
- Multi-class oscillating systems of interacting neurons
- Numerical simulation of a linear stochastic oscillator with additive noise
- Numerical solution of SDE through computer experiments. Including floppy disk
- On Lewis' simulation method for point processes
- On stirling numbers of the second kind
- On the Construction and Comparison of Difference Schemes
- On the moments of the modulus of continuity of Itô processes
- Point processes and queues. Martingale dynamics
- Quasi-symplectic methods for Langevin-type equations
- Simulation of nonhomogeneous poisson processes by thinning
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- Splitting and composition methods in the numerical integration of differential equations
- Splitting for Dissipative Particle Dynamics
- Splitting integrators for the stochastic Landau-Lifshitz equation
- Splitting methods
- Stability, convergence to equilibrium and simulation of non-linear Hawkes processes with memory kernels given by the sum of Erlang kernels
- Stochastic calculus of variations in mathematical finance.
- Stochastic differential equations and applications.
- Strong approximation theorems for density dependent Markov chains
- The computation of averages from equilibrium and nonequilibrium Langevin molecular dynamics
Cited in
(11)- Large deviations for cascades of diffusions arising in oscillating systems of interacting Hawkes processes
- A splitting method for SDEs with locally Lipschitz drift: illustration on the FitzHugh-Nagumo model
- Exponential ergodicity for diffusions with jumps driven by a Hawkes process
- Consistent procedures for multiclass classification of discrete diffusion paths
- Approximations for multi-class departure processes
- Long-term stability of interacting Hawkes processes on random graphs
- Strong error bounds for the convergence to its mean field limit for systems of interacting neurons in a diffusive scaling
- Diffusion approximations for self-excited systems with applications to general branching processes
- Network inference via approximate Bayesian computation. Illustration on a stochastic multipopulation neural mass model
- Stability of wandering bumps for Hawkes processes interacting on the circle
- Spiking neural models for decision-making tasks with learning
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