Stability of nonlinear Hawkes processes

被引:0
作者
Bremaud, P [1 ]
Massoulie, L [1 ]
机构
[1] CTR NATL ETUD TELECOMMUN,F-92131 ISSY MOULINEAUX,FRANCE
关键词
stochastic processes; point processes; stochastic intensity; stationary point processes; mutually exciting point processes; Hawkes processes;
D O I
暂无
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We address the problem of the convergence to equilibrium of a general class of point processes, containing, in particular, the nonlinear mutually exciting point processes, an extension of the linear Hawkes processes, and give general conditions guaranteeing the existence of a stationary version and the convergence to equilibrium of a nonstationary version, both in distribution and in variation. We also give a new proof of a result of Kerstan concerning point processes with bounded intensity and general nonlinear dynamics satisfying a Lipschitz condition.
引用
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页码:1563 / 1588
页数:26
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