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arXiv · 1908.06703

Functional Limit Theorems for Marked Hawkes Point Measures

Ulrich Horst·Wei Xu
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Abstract

This paper establishes a functional law of large numbers and a functional central limit theorem for marked Hawkes point measures and their corresponding shot noise processes. We prove that the normalized random measure can be approximated in distribution by the sum of a Gaussian white noise process plus an appropriate lifting map of a correlated one-dimensional Brownian motion. The Brownian results from the self-exiting arrivals of events. We apply our limit theorems for Hawkes point measures to analyze the population dynamics of budding microbes in a host.

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Ulrich Horst, Wei Xu. 2019-08-19. Functional Limit Theorems for Marked Hawkes Point Measures. https://arxiv.org/abs/1908.06703

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