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Renewal in Hawkes processes with self-excitation and inhibition

Abstract : This paper investigates Hawkes processes on the positive real line exhibiting both self-excitation and inhibition. Each point of this point process impacts its future intensity by the addition of a signed reproduction function. The case of a nonnegative reproduction function corresponds to self-excitation, and has been widely investigated in the literature. In particular, there exists a cluster representation of the Hawkes process which allows to apply results known for Galton-Watson trees. In the present paper, we establish limit theorems for Hawkes process with signed reproduction functions by using renewal techniques. We notably prove exponential concentration inequalities , and thus extend results of Reynaud-Bouret and Roy (2007) which were proved for nonnegative reproduction functions using this cluster representation which is no longer valid in our case. An important step for this is to establish the existence of exponential moments for renewal times of M/G/∞ queues that appear naturally in our problem. These results have their own interest, independently of the original problem for the Hawkes processes.
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Submitted on : Monday, January 15, 2018 - 9:03:01 AM
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Manon Costa, Carl Graham, Laurence Marsalle, Viet-Chi Tran. Renewal in Hawkes processes with self-excitation and inhibition. Advances in Applied Probability, Applied Probability Trust, 2020, 52 (3), pp.879-915. ⟨10.1017/apr.2020.19⟩. ⟨hal-01683954⟩



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