A palm space approach to non-linear Hawkes processes

. In this paper, the Hawkes property is expressed as an operator on the sub-space of non-negative sequences associated to distances between its points. By using the classical correspondence between a stationary point process and its Palm measure, we establish a characterization of the corresponding Palm measure as an invariant distribution of a Markovian kernel. We prove that if

P h i

is continuous and its growth rate is at most linear with a rate below some constant, then there exists a stationary Hawkes point process. The classical Lipschitz condition of the literature for an unbounded function

P h i

is relaxed. Our proofs rely on a combination of coupling methods, monotonicity properties of linear Hawkes processes and classical results on Palm distributions. An investigation of the Hawkes process starting from the null measure on

m a t h b b R_{-}

, the empty state, plays also an important role. The linear case of Hawkes and Oakes is revisited at this occasion. If the memory function

h

is an exponential function, under a weak condition it is shown that there exists a stationary Hawkes point process. In this case, its Palm measure is expressed in terms of the invariant distribution of a one-dimensional Harris ergodic Markov chain. When the activation function is a polynomial

P h i

with degree

> 1

, there does not exist a stationary Hawkes process and if the Hawkes process starts from the empty state, a scaling result for the accumulation of its points is obtained.

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Exponential moments for Hawkes processes under minimal assumptions

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