Stability for Hawkes processes with inhibition
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- OA-Stability for Hawkes processes with inhibition
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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 population acts inhibitory on the system. The goal of this note is to present a class of Hawkes Processes with stable dynamics without assumptions on the spectral radius of the associated weight function matrix. This illustrates how inhibition in a Hawkes system significantly affects the stability properties of the system.
Original language | English |
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Article number | 33 |
Journal | Electronic Communications in Probability |
Volume | 25 |
Pages (from-to) | 1-9 |
DOIs | |
Publication status | Published - 2020 |
- multivariate nonlinear Hawkes processes, stability, piecewise deterministic Markov processes, Lyapunov functions
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