Related papers: Long-time asymptotics for multivariate Hawkes proc…
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…
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…
In this paper we study the frequentist properties of Bayesian approaches in linear high dimensional Hawkes processes in a sparse regime where the number of interaction functions acting on each component of the Hawkes process is much smaller…
Existence and stability properties are studied for Hawkes process, i.e. point process $S$ that has long-memory and intensity $r(t)=\lambda \big(g_0(t)+ \sum_{\tau<t, \tau \in S} h(t-\tau) \big)$. The approach to Hawkes process presented in…
Univariate marked Hawkes processes are used to model a range of real-world phenomena including earthquake aftershock sequences, contagious disease spread, content diffusion on social media platforms, and order book dynamics. This paper…
We study the asymptotic behavior, as time t goes to infinity, of nonautonomous dynamical systems involving multiscale features. These systems model the emergence of various collective behaviors in game theory, as well as the asymptotic…
We consider a discrete-time system of n coupled random vectors, a.k.a. interacting particles. The dynamics involve a vanishing step size, some random centered perturbations, and a mean vector field which induces the coupling between the…
Locality imposes stringent constraints on the spreading of information in nonrelativistic quantum systems, which is reminiscent of a "light-cone," a casual structure arising in their relativistic counterparts. Long-range interactions can…
We establish the existence of two weak coupling regime effective dynamics for an open quantum system of repeated interactions (vanishing strength and individual interaction duration, respectively). This generalizes known results in that the…
We present the first exact analysis of some of the temporal properties of multivariate self-excited Hawkes conditional Poisson processes, which constitute powerful representations of a large variety of systems with bursty events, for which…
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 study long time behavior of a discrete time weakly interacting particle system, and the corresponding nonlinear Markov process in $\mathbb{R}^d$, described in terms of a general stochastic evolution equation. In a setting where the state…
Recent works have revealed the intricate effect of long-range interactions on information transport in quantum many-body systems: In $D$ spatial dimensions, interactions decaying as a power-law $r^{-\alpha}$ with $\alpha > 2 D+1$ exhibit a…
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…
In this thesis, we study the Hawking and Unruh effects in time-dependent situations, as registered by localised spacetimes observers in several asymptotic situations. (Full abstract inside document.)
Learning the causal-interaction network of multivariate Hawkes processes is a useful task in many applications. Maximum-likelihood estimation is the most common approach to solve the problem in the presence of long observation sequences.…
We consider a non relativistic quantum system consisting of $K$ heavy and $N$ light particles in dimension three, where each heavy particle interacts with the light ones via a two-body potential $\alpha V$. No interaction is assumed among…
The influence of multiplicative stochastic perturbations on the class of asymptotically Hamiltonian systems on the plane is investigated. It is assumed that disturbances do not preserve the equilibrium of the corresponding limiting system…
The Hawks process is a point process with a self-exciting property. It has been used to model earthquakes, social media events, infections, etc., and is getting a lot of attention. However, as a real problem, there are often situations…
In this paper, we establish the asymptotic behavior of {\it supercritical} nearly unstable Hawkes processes with a power law kernel. We find that, the Hawkes process in our context admits a similar equation to that in \cite{MR3563196} for…