Critical Hawkes process existence and uniqueness conjecture
Critical Hawkes process existence and uniqueness conjecture
Let be an absolutely continuous distribution function with and density , let be the symmetrized version of , and let . A critical Hawkes process has displacement density and average intensity . Critical Hawkes existence and uniqueness conjecture. Such a process exists if and only if the symmetrized displacement distribution is transient. In that case, the critical Hawkes equation specifies a unique, stationary, and infinitely divisible distribution. This conjecture formulates the proposed equivalence between existence and transience, together with uniqueness and distributional properties in the transient case; the paper does not establish the full assertion.
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Primary source
Matthias Kirchner, “A note on critical Hawkes processes”, arXiv:1706.03975 (2017).
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