On Stability of Hawkes Process

arXiv1201.1573MaRDI QIDQ6230123FDOQ6230123

Authors: Dmytro Karabash 

Publication date: 7 January 2012

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.

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)

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