Related papers: Mean-Field Limits for Nearly Unstable Hawkes Proce…
We prove that the long-run behavior of Hawkes processes is fully determined by the average number and the dispersion of child events. For subcritical processes we provide FLLNs and FCLTs under minimal conditions on the kernel of the process…
We prove a law of large numbers and functional central limit theorem for a class of multivariate Hawkes processes with time-dependent reproduction rate. We address the difficulties induced by the use of non-convolutive Volterra processes by…
Hawkes process is a simple point process that is self-exciting and has clustering effect. The intensity of this point process depends on its entire past history. It has wide applications in finance, neuroscience, social networks,…
In a previous paper, it has been shown that the mean-field limit of spatially extended Hawkes processes is characterized as the unique solution $u(t,x)$ of a neural field equation (NFE). The value $u(t,x)$ represents the membrane potential…
We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…
In this paper, we derive an explicit upper bound for the Wasserstein distance between a functional of point processes and a Gaussian distribution. Using Stein's method in conjunction with Malliavin's calculus and the Poisson embedding…
Hawkes processes are a class of point processes that have the ability to model the self- and mutual-exciting phenomena. Although the classic Hawkes processes cover a wide range of applications, their expressive ability is limited due to…
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…
We consider large systems of particles interacting through rough but bounded interaction kernels. We are able to control the relative entropy between the $N$-particle distribution and the expected limit which solves the corresponding Vlasov…
In this article, we set up a functional setting for mean-field electronic structure models of Hartree-Fock or Kohn-Sham types for disordered crystals. The electrons are quantum particles and the nuclei are classical point-like articles…
The stability condition for Hawkes processes and their non-linear extensions usually relies on the condition that the mean intensity is a finite constant. It follows that the total endogeneity ratio needs to be strictly smaller than unity.…
We extend classical results about the convergence of nearly unstable AR(p) processes to the infinite order case. To do so, we proceed as in recent works about Hawkes processes by using limit theorems for some well chosen geometric sums. We…
The well-posedness is established for multi-dimensional mean-field stochastic Volterra equations with Lipschitz continuous coefficients and allowing for singular kernels as well as for one-dimensional mean-field stochastic Volterra…
We investigate the asymptotic behavior as time goes to infinity of Hawkes processes whose regression kernel has $L^1$ norm close to one and power law tail of the form $x^{-(1+\alpha)}$, with $\alpha\in(0,1)$. We in particular prove that…
An asymptotic limit of a class of Cahn-Hilliard systems is investigated to obtain a general nonlinear diffusion equation. The target diffusion equation may reproduce a number of well-known model equations: Stefan problem, porous media…
We establish the weak convergence of the intensity of a nearly-unstable Hawkes process with heavy-tailed kernel. Our result is used to derive a scaling limit for a financial market model where orders to buy or sell an asset arrive according…
This paper is devoted the the study of the mean field limit for many-particle systems undergoing jump, drift or diffusion processes, as well as combinations of them. The main results are quantitative estimates on the decay of fluctuations…
A pathwise large deviation principle in the Wasserstein topology and a pathwise central limit theorem are proved for the empirical measure of a mean-field system of interacting diffusions. The coefficients are path-dependent. The framework…
The Hawkes process is a simple point process that has long memory, clustering effect, self-exciting property and is in general non-Markovian. The future evolution of a self-exciting point process is influenced by the timing of the past…
In arXiv:1004.1407, Flandoli, Gubinelli, and Priola proposed a stochastic variant of the classical point vortex system of Helmholtz and Kirchoff in which multiplicative noise of transport-type is added to the dynamics. An open problem in…