Mean-field limits for non-linear Hawkes processes with inhibition on a Erd\H{o}s-R\'{e}nyi-graph
Probability
2023-11-27 v2
Abstract
We study a multivariate, non-linear Hawkes process on a -Erd\H{o}s-R\'{e}nyi-graph with nodes. Each vertex is either excitatory (probability ) or inhibitory (probability ). If , we take the mean-field limit of , leading to a multivariate point process . We rescale the interaction intensity by and find that the limit intensity process solves a deterministic convolution equation and all components of are independent. The fluctuations around the mean field limit converge to the solution of a stochastic convolution equation. In the critical case, , we rescale by and discuss difficulties, both heuristically and numerically.
Keywords
Cite
@article{arxiv.2207.02655,
title = {Mean-field limits for non-linear Hawkes processes with inhibition on a Erd\H{o}s-R\'{e}nyi-graph},
author = {Jakob Stiefel},
journal= {arXiv preprint arXiv:2207.02655},
year = {2023}
}
Comments
arXiv admin note: text overlap with arXiv:2102.01052