In this article we obtain rates of convergence to equilibrium of marked Hawkes processes in two situations. Firstly, the stationary process is the empty process, in which case we speak of the rate of extinction. Secondly, the stationary process is the unique stationary and non trivial marked Hawkes process, in which case we speak of the rate of installation. The first situation models small epidemics, whereas the results in the second case are useful in deriving stopping rules for simulation algorithms of Hawkes processes with random marks.

Rate of convergence to equilibrium of marked Hawkes processes

Torrisi GL
2002

Abstract

In this article we obtain rates of convergence to equilibrium of marked Hawkes processes in two situations. Firstly, the stationary process is the empty process, in which case we speak of the rate of extinction. Secondly, the stationary process is the unique stationary and non trivial marked Hawkes process, in which case we speak of the rate of installation. The first situation models small epidemics, whereas the results in the second case are useful in deriving stopping rules for simulation algorithms of Hawkes processes with random marks.
2002
Istituto Applicazioni del Calcolo ''Mauro Picone''
processi di punto
teoria del rinnovo
velocita' di converg
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.14243/157820
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