Related papers: A generalized central limit theorem for critical m…
Point processes are widely used statistical models for continuous-time discrete event data, such as medical records, crime reports, and social network interactions, to capture the influence of historical events on future occurrences. In…
We study the evolution of a particle system whose genealogy is given by a supercritical continuous time Galton--Watson tree. The particles move independently according to a Markov process and when a branching event occurs, the offspring…
Hawkes processes are a self-exciting stochastic process used to describe phenomena whereby past events increase the probability of the occurrence of future events. This work presents a flexible approach for modelling a variant of these,…
Fleming-Viot type particle systems represent a classical way to approximate the distribution of a Markov process with killing, given that it is still alive at a final deterministic time. In this context, each particle evolves independently…
This paper considers population processes in which general, not necessarily Markovian, multivariate Hawkes processes dictate the stochastic arrivals. We establish results to determine the corresponding time-dependent joint probability…
We consider multi-class systems of interacting nonlinear Hawkes processes modeling several large families of neurons and study their mean field limits. As the total number of neurons goes to infinity we prove that the evolution within each…
We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buffer. The model applies the principle of the Hawkes process…
Using an averaged generating function for coloured hard-dimers, some random variables of interest are studied. The main result lies in the fact that all their probability distributions obey a central limit theorem.
The objective of this study is to investigate the limiting behavior of a subgraph counting process. The subgraph counting process we consider counts the number of subgraphs having a specific shape that exist outside an expanding ball as the…
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…
We introduce a broad class of self-similar processes $\{Z(t),t\ge 0\}$ called generalized Hermite process. They have stationary increments, are defined on a Wiener chaos with Hurst index $H\in (1/2,1)$, and include Hermite processes as a…
We observe the actions of a $K$ sub-sample of $N$ individuals up to time $t$ for some large $K\le N$. We model the relationships of individuals by i.i.d. Bernoulli($p$)-random variables, where $p\in (0,1]$ is an unknown parameter. The rate…
The origin(s) of the ubiquity of probability distribution functions (PDF) with power law tails is still a matter of fascination and investigation in many scientific fields from linguistic, social, economic, computer sciences to essentially…
We characterize the convergence in distribution to a standard normal law for a sequence of multiple stochastic integrals of a fixed order with variance converging to 1. Some applications are given, in particular to study the limiting…
Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in practice, the statistical estimation results seem to show that…
We study the asymptotic nature of geometric structures formed from a point cloud of observations of (generally heavy tailed) distributions in a Euclidean space of dimension greater than one. A typical example is given by the Betti numbers…
Over the last 30 years, extensive work has been devoted to developing central limit theory for partial sums of subordinated long memory linear time series. A much less studied problem, motivated by questions that are ubiquitous in extreme…
We generalize multivariate Hawkes processes mainly by including a dependence with respect to the age of the process, i.e. the delay since the last point. Within this class, we investigate the limit behaviour, when n goes to infinity, of a…
In this paper, we are interested in linear prediction of a particular kind of stochastic process, namely a marked temporal point process. The observations are event times recorded on the real line, with marks attached to each event. We show…
Non-linear Hawkes processes with memory kernels given by the sum of Erlang kernels are considered. It is shown that their stability properties can be studied in terms of an associated class of piecewise deterministic Markov processes,…