Critical Hawkes process existence and uniqueness conjecture

Let FF be an absolutely continuous distribution function with F(0)=0F(0)=0 and density ff, let F~\tilde{F} be the symmetrized version of FF, and let λ>0\lambda>0. A critical Hawkes process NN has displacement density ff and average intensity λ\lambda. Critical Hawkes existence and uniqueness conjecture. Such a process exists if and only if the symmetrized displacement distribution F~\tilde{F} 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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