Related papers: Diffusion Approximations for Self-excited Systems …

We consider a class of Crump-Mode-Jagers processes with interaction, constructed by removing a newly born offspring with a probability that depends on the age structure of the population at its birth time. We prove a law of large numbers…

A univariate Hawkes process is a simple point process that is self-exciting and has clustering effect. The intensity of this point process is given by the sum of a baseline intensity and another term that depends on the entire past history…

A space discrete approximation to a highly nonlinear reaction-diffusion system endowed with a stochastic dynamical boundary condition is analyzed and the convergence of the discrete scheme to the solution to the corresponding continuum…

This paper develops a theoretical mesoscopic model of the limit order book driven by multivariate Hawkes processes, designed to capture temporal self-excitation and the spatial propagation of order flow across price levels. In contrast to…

We consider the task of filtering a dynamic parameter evolving as a diffusion process, given data collected at discrete times from a likelihood which is conjugate to the marginal law of the diffusion, when a generic dual process on a…

The contagion dynamics can emerge in social networks when repeated activation is allowed. An interesting example of this phenomenon is retweet cascades where users allow to re-share content posted by other people with public accounts. To…

Density dependent Markov population processes with countably many types can often be well approximated over finite time intervals by the solution of the differential equations that describe their average drift, provided that the total…

Under natural assumptions, a Feller type diffusion approximation is derived for critical, irreducible multi-type continuous state and continuous time branching processes with immigration. Namely, it is proved that a sequence of…

Random metastability occurs when an externally forced or noisy system possesses more than one state of apparent equilibrium. This work investigates fluctuations in a class of random dynamical systems, arising from randomly perturbing a…

The marked Hawkes risk process is a compound point process for which the occurrence and amplitude of past events impact the future. Thanks to its autoregressive properties, it found applications in various fields such as neuosciences,…

We study two types of stochastic processes, a mean-field spatial system of interacting Fisher-Wright diffusions with an inferior and an advantageous type with rare mutation (inferior to advantageous) and a (mean-field) spatial system of…

We study a random process with reinforcement, which evolves following the dynamics of a given diffusion process in a bounded domain and is resampled according to its occupation measure when it reaches the boundary. We show that its…

Hawkes Processes are a type of point process for modeling self-excitation, i.e., when the occurrence of an event makes future events more likely to occur. The corresponding self-triggering function of this type of process may be inferred…

In this paper, we firstly give a reconstruction for Crump-Mode-Jagers processes with immigration as solutions to a class of stochastic Volterra integral equations, which offers us a new insight for the evolution dynamics of age-dependent…

Widely used models in genetics include the Wright-Fisher diffusion and its moment dual, Kingman's coalescent. Each has a multilocus extension but under neither extension is the sampling distribution available in closed-form, and their…

Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used to link observed returns, plus nonparametric measures of…

Diffusive approximations of Markov jump processes often fail to accurately capture large fluctuations. This is confounding, as the rare events triggered by these large fluctuations, such as the failure of electronic memories, are often the…

Currently, there is no general theory for deriving diffusion approximations of queueing systems with high- or infinite-dimensional state descriptors. In this paper, we explore one path for deriving diffusion limit equations of queueing…

It has been recently found that a number of systems displaying crackling noise also show a remarkable behavior regarding the temporal occurrence of successive events versus their size: a scaling law for the probability distributions of…

Renewal equations are a popular approach used in modelling the number of new infections, i.e., incidence, in an outbreak. We develop a stochastic model of an outbreak based on a time-varying variant of the Crump-Mode-Jagers branching…