English

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 ZNZ^N on a qq-Erd\H{o}s-R\'{e}nyi-graph with NN nodes. Each vertex is either excitatory (probability pp) or inhibitory (probability 1p1-p). If p12p\neq\tfrac12, we take the mean-field limit of ZNZ^N, leading to a multivariate point process Zˉ\bar Z. 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. The fluctuations around the mean field limit converge to the solution of a stochastic convolution equation. In the critical case, p=12p=\tfrac12, we rescale by N1/2N^{1/2} 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