Diffusion approximation of multi-class Hawkes processes: theoretical and numerical analysis
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Publication:5156802
stochastic differential equationsdiffusion processesHawkes processespiecewise deterministic Markov processesneuronal modelsnumerical splitting schemes
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Probabilistic models, generic numerical methods in probability and statistics (65C20) Continuous-time Markov processes on general state spaces (60J25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Recommendations
- Large deviations for cascades of diffusions arising in oscillating systems of interacting Hawkes processes
- Mean field limits for interacting Hawkes processes in a diffusive regime
- Exponential ergodicity for diffusions with jumps driven by a Hawkes process
- Stability, convergence to equilibrium and simulation of non-linear Hawkes processes with memory kernels given by the sum of Erlang kernels
- Multi-class oscillating systems of interacting neurons
Cites work
- scientific article; zbMATH DE number 3951715 (Why is no real title available?)
- scientific article; zbMATH DE number 3664138 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
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Cited in
(8)- Long-term stability of interacting Hawkes processes on random graphs
- Strong error bounds for the convergence to its mean field limit for systems of interacting neurons in a diffusive scaling
- Diffusion approximations for self-excited systems with applications to general branching processes
- Approximations for multi-class departure processes
- Consistent procedures for multiclass classification of discrete diffusion paths
- Exponential ergodicity for diffusions with jumps driven by a Hawkes process
- Large deviations for cascades of diffusions arising in oscillating systems of interacting Hawkes processes
- A splitting method for SDEs with locally Lipschitz drift: illustration on the FitzHugh-Nagumo model
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