Large deviations for the mean-field limit of Hawkes processes

arXiv2301.07585MaRDI QIDQ6423741FDOQ6423741

Authors: Fuqing Gao, Lingjiong Zhu 

Publication date: 18 January 2023

Abstract: Hawkes processes are a class of simple point processes whose intensity depends on the past history, and is in general non-Markovian. Limit theorems for Hawkes processes in various asymptotic regimes have been studied in the literature. In this paper, we study a multidimensional nonlinear Hawkes process in the asymptotic regime when the dimension goes to infinity, whose mean-field limit is a time-inhomogeneous Poisson process, and our main result is a large deviation principle for the mean-field limit.

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