Exponential ergodicity for diffusions with jumps driven by a Hawkes process
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Abstract: In this paper, we introduce a new class of processes which are diffusions with jumps driven by a multivariate nonlinear Hawkes process. Our goal is to study their long-time behavior. In the case of exponential memory kernels for the underlying Hawkes process we establish conditions for the positive Harris recurrence of the couple (X, Y), where X denotes the diffusion process and Y the piecewise deterministic Markov process (PDMP) defining the stochastic intensity of the driving Hawkes. As a direct consequence of the Harris recurrence, we obtain the ergodic theorem for X. Furthermore, we provide sufficient conditions under which the process is exponentially --mixing.
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Cited in
(9)- Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes
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- Robustified Gaussian quasi-likelihood inference for volatility
- Ergodicity and exponential -mixing bounds for multidimensional diffusions with jumps
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