Stability for Hawkes processes with inhibition

DOI10.1214/20-ECP312MaRDI QIDQ2183136zbMATH OpenOpenAlexFDO

Authors Mads Bonde Raad, E. Löcherbach

Publication date 26 May 2020

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.01887, https://projecteuclid.org/euclid.ecp/1588039621

zbMATH Keywords

stabilityLyapunov functionspiecewise deterministic Markov processesmultivariate nonlinear Hawkes processes

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Continuous-time Markov processes on general state spaces (60J25) Random measures (60G57)

Abstract: We consider a multivariate non-linear Hawkes process in a multi-class setup where particles are organised within two populations of possibly different sizes, such that one of the populations acts excitatory on the system while the other population acts inhibitory on the system. The goal of this note is to present a class of Hawkes Processes with stable dynamics without assumptions on the spectral radius of the associated weight function matrix. This illustrates how inhibition in a Hawkes system significantly affects the stability properties of the system.

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Cited in

(5)

• Interacting Hawkes processes with multiplicative inhibition
• Multivariate Hawkes processes on inhomogeneous random graphs
• (Almost) complete characterization of the stability of a discrete-time Hawkes process with inhibition and memory of length two
• Limit theorems for Hawkes processes including inhibition
• Exponential ergodicity for diffusions with jumps driven by a Hawkes process

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