Population viewpoint on Hawkes processes

DOI10.1017/APR.2016.10MaRDI QIDQ5740698zbMATH OpenOpenAlexFDO

Authors Alexandre Boumezoued

Publication date 27 July 2016

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.06563, http://projecteuclid.org/euclid.aap/1465490758

zbMATH Keywords

age pyramidbranchingHawkes processesimmigrationLaplace transformnonstationarityPoisson point measurethinning

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random measures (60G57) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Abstract: This paper focuses on a class of linear Hawkes processes with general immigrants. These are counting processes with shot noise intensity, including self-excited and externally excited patterns. For such processes, we introduce the concept of age pyramid which evolves according to immigration and births. The virtue if this approach that combines an intensity process definition and a branching representation is that the population age pyramid keeps track of all past events. This is used to compute new distribution properties for a class of linear Hawkes processes with general immigrants which generalize the popular exponential fertility function. The pathwise construction of the Hawkes process and its underlying population is also given.

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Cited in

(10)

• Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
• Stability and mean-field limits of age dependent Hawkes processes
• The pair correlation function of spatial Hawkes processes
• Hawkes branching point processes without ancestors
• A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
• Classification of flash crashes using the Hawkes \(p,q\) framework
• The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
• On the cumulant transforms for Hawkes processes
• A palm space approach to non-linear Hawkes processes
• On the chaotic expansion for counting processes

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