English

Perfect simulation for interacting Hawkes processes with variable length memory

Probability 2022-09-20 v1

Abstract

We consider a nonlinear multivariate Hawkes process having a variable length memory which allows to describe the activity of a neuronal network by its membrane potential. We propose a graphical construction of the process and we construct, by means of a perfect simulation algorithm, a stationary version of the process. By making the hypothesis that the spiking rate βi\beta_i of the neuron iIi \in I is bounded, we construct an algorithm based on a priori realizations of the Poisson process (Mi,iI)(M^i, i \in I). We show that there exists a critical value δc\delta_c such that if δ>δc\underline{\delta} > \delta_c (where δ=infiδi\underline{\delta}= \inf_i{\delta_i} with δi=βiβiβi\delta_i = \frac{\beta_{i* }}{\beta^*_i-\beta_{i*}} ) the process is ergodic.

Keywords

Cite

@article{arxiv.2209.09143,
  title  = {Perfect simulation for interacting Hawkes processes with variable length memory},
  author = {Branda Goncalves and Paul Gresland},
  journal= {arXiv preprint arXiv:2209.09143},
  year   = {2022}
}
R2 v1 2026-06-28T01:40:13.794Z