Fluctuations for spatially extended Hawkes processes

DOI10.1016/J.SPA.2020.03.015zbMATH Open1454.60062arXiv1909.06401OpenAlexW4288108399WikidataQ101496343 ScholiaQ101496343MaRDI QIDQ2196377FDOQ2196377

Authors: Julien Chevallier, Guilherme Ost 

Publication date: 2 September 2020

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

Abstract: In a previous paper, it has been shown that the mean-field limit of spatially extended Hawkes processes is characterized as the unique solution $u(t,x)$ of a neural field equation (NFE). The value $u(t,x)$ represents the membrane potential at time $t$ of a typical neuron located in position $x$, embedded in an infinite network of neurons. In the present paper, we complement this result by studying the fluctuations of such a stochastic system around its mean-field limit $u(t,x)$. Our first main result is a central limit theorem stating that the spatial distribution associated with these fluctuations converges to the unique solution of some stochastic differential equation driven by a Gaussian noise. In our second main result, we show that the solutions of this stochastic differential equation can be well approximated by a stochastic version of the neural field equation satisfied by $u(t,x)$. To the best of our knowledge, this result appears to be new in the literature.

Full work available at URL: https://arxiv.org/abs/1909.06401

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zbMATH Keywords

central limit theoremHawkes processesnetwork of neuronsneural field equations

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Random measures (60G57)

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Cited In (4)

• Long-term stability of interacting Hawkes processes on random graphs
• White-noise driven conditional McKean-Vlasov limits for systems of particles with simultaneous and random jumps
• Mean-field limits for non-linear Hawkes processes with excitation and inhibition
• Modeling of Spatio-Temporal Hawkes Processes With Randomized Kernels

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