Diffusion approximation of multi-class Hawkes processes: theoretical and numerical analysis
DOI10.1017/APR.2020.73zbMATH Open1471.60106OpenAlexW3207562472MaRDI QIDQ5156802FDOQ5156802
Authors: Julien Chevallier, Anna Melnykova, Irene Tubikanec 
Publication date: 12 October 2021
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/apr.2020.73
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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)
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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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