Functional limit theorems for marked Hawkes point measures

DOI10.1016/J.SPA.2020.12.002MaRDI QIDQ2021389zbMATH OpenOpenAlexFDO

Authors Ulrich Horst, Wei Xu

Publication date 27 April 2021

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1908.06703

zbMATH Keywords

functional limit theoremHawkes point measuremarked Hawkes process

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Random measures (60G57) Microbiology (92C70)

Abstract: This paper establishes a functional law of large numbers and a functional central limit theorem for marked Hawkes point measures and their corresponding shot noise processes. We prove that the normalized random measure can be approximated in distribution by the sum of a Gaussian white noise process plus an appropriate lifting map of a correlated one-dimensional Brownian motion. The Brownian results from the self-exiting arrivals of events. We apply our limit theorems for Hawkes point measures to analyze the population dynamics of budding microbes in a host.

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Cited in

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• Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime
• The microstructure of stochastic volatility models with self-exciting jump dynamics
• Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
• Fluctuations for mean-field interacting age-dependent Hawkes processes
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