A palm space approach to non-linear Hawkes processes

DOI10.1214/23-EJP1063arXiv2212.11660MaRDI QIDQ6186447FDOQ6186447

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Publication date: 2 February 2024

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: A Hawkes process on $mathbbR$ is a point process whose intensity function at time $t$ is a functional of its past activity before time $t$. It is defined by its activation function $Phi$ and its memory function $h$. 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 $Phi$ 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 $Phi$ 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 $mathbb{R}_{-}$, 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 $Phi$ 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.

Full work available at URL: https://arxiv.org/abs/2212.11660

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zbMATH Keywords

Hawkes processesstationary point processespalm measure

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cited In (1)

• Exponential moments for Hawkes processes under minimal assumptions

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