Related papers: Delayed Hawkes birth-death processes

This article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling. We classify intraday order book trading events into a range of categories based on their order types and the price…

Classic results show that the Hawkes self-exciting point process can be viewed as a collection of temporal clusters, where exogenously generated initial events give rise to endogenously driven descendant events. This perspective provides…

We investigate the long-run behavior of single-server queues with Hawkes arrivals and general service distributions and related optimization problems. In detail, utilizing novel coupling techniques, we establish finite moment bounds for the…

Delayed processes are ubiquitous in biological systems and are often characterized by delay differential equations (DDEs) and their extension to include stochastic effects. DDEs do not explicitly incorporate intermediate states associated…

The Hawkes process is a class of point processes whose future depends on their own history. Previous theoretical work on the Hawkes process is limited to a special case in which a past event can only increase the occurrence of future…

The Hawkes self-excited point process provides an efficient representation of the bursty intermittent dynamics of many physical, biological, geological and economic systems. By expressing the probability for the next event per unit time…

The Hawkes process is a model for counting the number of arrivals to a system which exhibits the self-exciting property - that one arrival creates a heightened chance of further arrivals in the near future. The model, and its…

Targeting a better understanding of credit market dynamics, the authors have studied a stochastic model named the Hawkes process. Describing trades arrival times, this kind of model allows for the capture of self-excitement and mutual…

Hawkes processes are a popular framework to model the occurrence of sequential events, i.e., occurrence dynamics, in several fields such as social diffusion. In real-world scenarios, the inter-arrival time among events is irregular.…

Asynchronous events on the continuous time domain, e.g., social media actions and stock transactions, occur frequently in the world. The ability to recognize occurrence patterns of event sequences is crucial to predict which typeof events…

In this paper, we develop sample path large deviations for multivariate Hawkes processes with heavy-tailed mutual excitation rates. Our results address a broad class of rare events in Hawkes processes at the sample path level and, via the…

We develop an approximate theoretical method to study discrete stochastic birth and death models that include a delay time. We analyze the effect of the delay in the fluctuations of the system and obtain that it can qualitatively alter…

Over the past few decades, the Hawkes process has become a popular framework for modeling temporal events thanks to its flexibility to capture different dependency structures. The objective of this work is to model call sequences emitted by…

We propose an extension to Hawkes processes by treating the levels of self-excitation as a stochastic differential equation. Our new point process allows better approximation in application domains where events and intensities accelerate…

In the last decade, Hawkes processes have received a lot of attention as good models for functional connectivity in neural spiking networks. In this paper we consider a variant of this process, the Age Dependent Hawkes process, which…

Marked Temporal Point Processes (MTPPs) arise naturally in medical, social, commercial, and financial domains. However, existing Transformer-based methods mostly inject temporal information only via positional encodings, relying on shared…

Numerous studies grounded on Hawkes processes have been carried out in many fields including finance, biology and social network. Hawkes processes form a class of selfexciting simple point processes. In this article, we consider a general…

Let $F$ be a distribution function on $\mathbb{R}$ with $F(0) = 0 $ and density $f$. Let $\tilde{F}$ be the distribution function of $X_1 - X_2$, $X_i\sim F,\, i=1,2,\text{ iid}$. We show that for a critical Hawkes process with displacement…

This paper introduces the Hawkes skeleton and the Hawkes graph. These objects summarize the branching structure of a multivariate Hawkes point process in a compact, yet meaningful way. We demonstrate how graph-theoretic vocabulary…

We consider a multivariate non-linear Hawkes process in a multi-class setup where particles are organised within two populations of possibly different sizes, such that one of the populations acts excitatory on the system while the other…