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

Laplace transformnonstationaritybranchingHawkes processesimmigrationPoisson point measurethinningage pyramid

Mathematics Subject Classification ID

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

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)

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

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