Stability of nonlinear Hawkes processes
Brémaud, Pierre ; Massoulié, Laurent
Ann. Probab., Tome 24 (1996) no. 2, p. 1563-1588 / Harvested from Project Euclid
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.
Publié le : 1996-07-14
Classification:  Stochastic processes,  point processes,  stochastic intensity,  stationary point processes,  mutually exciting point processes,  Hawkes processes,  60G55,  60H20
@article{1065725193,
     author = {Br\'emaud, Pierre and Massouli\'e, Laurent},
     title = {Stability of nonlinear Hawkes processes},
     journal = {Ann. Probab.},
     volume = {24},
     number = {2},
     year = {1996},
     pages = { 1563-1588},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1065725193}
}
Brémaud, Pierre; Massoulié, Laurent. Stability of nonlinear Hawkes processes. Ann. Probab., Tome 24 (1996) no. 2, pp.  1563-1588. http://gdmltest.u-ga.fr/item/1065725193/