Related papers: Diffusion Approximations for Self-excited Systems …

We propose a fast and efficient estimation method that is able to accurately recover the parameters of a d-dimensional Hawkes point-process from a set of observations. We exploit a mean-field approximation that is valid when the…

Many stochastic systems have arrival processes that exhibit clustering behavior. In these systems, arriving entities influence additional arrivals to occur through self-excitation of the arrival process. In this paper, we analyze an…

We establish an explicit rate of convergence for some systems of mean-field interacting diffusions with logistic binary branching towards the solutions of nonlinear evolution equations with non-local self-diffusion and logistic mass growth,…

We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size…

Among the statistical tools for online information diffusion modeling, both epidemic models and Hawkes point processes are popular choices. The former originate from epidemiology, and consider information as a viral contagion which spreads…

In this paper, we consider a one-dimensional diffusion process with jumps driven by a Hawkes process. We are interested in the estimations of the volatility function and of the jump function from discrete high-frequency observations in a…

Large scale organization in ensembles of events of atmospheric convection can be generated by the combined effect of forcing and of the interaction between the raising plumes and the environment. Here the "large scale" refers to the space…

This paper is devoted to the study of a new class of random evolutions (RE), so-called self-exciting random evolutions (SEREs), and their applications. We also introduce a new random process $x(t)$ such that it is based on a superposition…

We establish a diffusion approximation for a class of multi-agent controlled queueing systems, demonstrating their convergence to a system of interacting reflected Ornstein--Uhlenbeck (OU) processes. The limiting process captures essential…

Hawkes Processes capture self-excitation and mutual-excitation between events when the arrival of an event makes future events more likely to happen. Identification of such temporal covariance can reveal the underlying structure to better…

Hawkes process is a class of simple point processes with self-exciting and clustering properties. Hawkes process has been widely applied in finance, neuroscience, social networks, criminology, seismology, and many other fields. In this…

We consider a sequence of Hawkes processes whose excitation measures may depend on the generation, and study its scaling limits in the near-unstable limiting regime. The limiting random measures, characterized via a nonlinear convolutional…

Over the past few years the displacement statistics of self-propelled particles has been intensely studied, revealing their long-time diffusive behavior. Here, we demonstrate that a concerted combination of boundary conditions and switching…

We propose an effective method to solve the event sequence clustering problems based on a novel Dirichlet mixture model of a special but significant type of point processes --- Hawkes process. In this model, each event sequence belonging to…

We derive explicit, closed-form expressions for the cumulant densities of a multivariate, self-exciting Hawkes point process, generalizing a result of Hawkes in his earlier work on the covariance density and Bartlett spectrum of such…

We propose a simulation method for multidimensional Hawkes processes based on superposition theory of point processes. This formulation allows us to design efficient simulations for Hawkes processes with differing exponentially decaying…

Diffusion processes have been widely used for approximations in the queueing theory. There are different types of diffusion approximations. Among them, we are interested in those obtained through limits of a sequence of models which…

We consider a supercritical general branching population where the lifetimes of individuals are i.i.d. with arbitrary distribution and each individual gives birth to new individuals at Poisson times independently from each others. The…

In the presence of quantum measurements with direct photon detection the evolution of open quantum systems is usually described by stochastic master equations with jumps. Heuristically, from these equations one can obtain diffusion models…

We present a stability study of the class of multivariate self-excited Hawkes point processes, that can model natural and social systems, including earthquakes, epileptic seizures and the dynamics of neuron assemblies, bursts of exchanges…