Stability and mean-field limits of age dependent Hawkes processes (Q2227472)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Stability and mean-field limits of age dependent Hawkes processes
scientific article

    Statements

    Stability and mean-field limits of age dependent Hawkes processes (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    15 February 2021
    0 references
    This paper introduces a multivariate Hawkes process with a special type of age dependent rate function. ``It incorporates individual post-jump behavior into the framework of the usual Hawkes model. This allows to model recovery properties such as refractory periods, where the effects of the network are momentarily being suppressed or altered. We show how classical stability results for Hawkes processes can be improved by introducing age into the system. We neither need to a priori bound the intensities nor to impose any conditions on the Lipschitz constants. When the interactions between neurons are of mean-field type, we study large network limits and establish the propagation of chaos property of the system. The results we obtain are similar to what has been shown for ordinary nonlinear Hawkes processes in [\textit{P. Brémaud} and \textit{L. Massoulié}, Ann. Probab. 24, No. 3, 1563--1588 (1996; Zbl 0870.60043)], and [\textit{M. Costa} et al., `` Renewal in Hawkes processes with self-excitation and inhibition'', Preprint, \url{arXiv:1801.04645 }; \url{https://hal.archives-ouvertes.fr/hal-01683954}]''.
    0 references
    0 references
    0 references
    0 references
    0 references
    multivariate nonlinear Hawkes processes
    0 references
    mean-field approximations
    0 references
    age dependency
    0 references
    stability
    0 references
    coupling
    0 references
    piecewise deterministic Markov processes
    0 references