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Jakob Stiefel

Publications and source records attributed to Jakob Stiefel.

3 recordsLinked to original sources
arXiv2023

Mean-field limits for non-linear Hawkes processes with inhibition on a Erdős-Rényi-graph

We study a multivariate, non-linear Hawkes process $Z^N$ on a $q$-Erdős-Rényi-graph with $N$ nodes. Each vertex is either excitatory (probability $p$) or inhibitory (probability $1-p$). If $p\neq\tfrac12$, we take the mean-field limit of $Z^N$, leading to a multivariate point process $\bar Z$. We rescale the interaction intensity by $N$ and find that the limit intensity process solves a deterministic convolution equation and all components of $\bar Z$ are independent. The fluctuations around the mean field limit converge to the solution of a stochastic convolution equation. In the critical case, $p=\tfrac12$, we rescale by $N^{1/2}$ and discuss difficulties, both heuristically and numerically.

math.PR↗
arXiv2021

Mean-field limits for non-linear Hawkes processes with excitation and inhibition

We study a multivariate, non-linear Hawkes process $Z^N$ on the complete graph with $N$ nodes. Each vertex is either excitatory (probability $p$) or inhibitory (probability $1-p$). We take the mean-field limit of $Z^N$, leading to a multivariate point process $\bar Z$. If $p\neq\tfrac12$, we rescale the interaction intensity by $N$ and find that the limit intensity process solves a deterministic convolution equation and all components of $\bar Z$ are independent. In the critical case, $p=\tfrac12$, we rescale by $N^{1/2}$ and obtain a limit intensity, which solves a stochastic convolution equation and all components of $\bar Z$ are conditionally independent.

math.PR↗