English

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 ZNZ^N on the complete graph with NN nodes. Each vertex is either excitatory (probability pp) or inhibitory (probability 1p1-p). We take the mean-field limit of ZNZ^N, leading to a multivariate point process Zˉ\bar Z. If p12p\neq\tfrac12, we rescale the interaction intensity by NN and find that the limit intensity process solves a deterministic convolution equation and all components of Zˉ\bar Z are independent. In the critical case, p=12p=\tfrac12, we rescale by N1/2N^{1/2} and obtain a limit intensity, which solves a stochastic convolution equation and all components of Zˉ\bar Z 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}
}