Mean-field limits for non-linear Hawkes processes with excitation and inhibition
Probability
2021-10-14 v2
Abstract
We study a multivariate, non-linear Hawkes process on the complete graph with nodes. Each vertex is either excitatory (probability ) or inhibitory (probability ). We take the mean-field limit of , leading to a multivariate point process . If , we rescale the interaction intensity by and find that the limit intensity process solves a deterministic convolution equation and all components of are independent. In the critical case, , we rescale by and obtain a limit intensity, which solves a stochastic convolution equation and all components of are conditionally independent.
Keywords
Cite
@article{arxiv.2102.01052,
title = {Mean-field limits for non-linear Hawkes processes with excitation and inhibition},
author = {Peter Pfaffelhuber and Stefan Rotter and Jakob Stiefel},
journal= {arXiv preprint arXiv:2102.01052},
year = {2021}
}