Population viewpoint on Hawkes processes

Abstract : This paper focuses on a class of linear Hawkes processes with general immigrants. These are counting processes with shot noise intensity, including self-excited and externally excited patterns. For such processes, we introduce the concept of age pyramid which evolves according to immigration and births. The virtue if this approach that combines an intensity process definition and a branching representation is that the population age pyramid keeps track of all past events. This is used to compute new distribution properties for a class of linear Hawkes processes with general immigrants which generalize the popular exponential fertility function. The pathwise construction of the Hawkes process and its underlying population is also given.
Type de document :
Pré-publication, Document de travail
2015
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https://hal.archives-ouvertes.fr/hal-01149752
Contributeur : Alexandre Boumezoued <>
Soumis le : dimanche 12 juillet 2015 - 14:29:07
Dernière modification le : jeudi 20 juillet 2017 - 09:26:54
Document(s) archivé(s) le : mercredi 26 avril 2017 - 02:45:03

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Alexandre Boumezoued. Population viewpoint on Hawkes processes. 2015. <hal-01149752v2>

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