On Stability of Hawkes Process

MaRDI QIDQ6230123zbMATH OpenFDO

Authors Dmytro Karabash

Publication date 7 January 2012

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Population dynamics (general) (92D25) Stationary stochastic processes (60G10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Stable stochastic processes (60G52)

Abstract: Existence and stability properties are studied for Hawkes process, i.e. point process $S$ that has long-memory and intensity $$. The approach to Hawkes process presented in this paper allows us to prove the uniqueness of invariant distribution of the process under weaker conditions. New speed of convergence results are also shown. Unlike previous results the function $lambda$ is not required to be Lipschitz and can be even discontinuous. Some generalizations are also considered.

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