Poisson-embedding convergence conjecture for critical Hawkes processes
Poisson-embedding convergence conjecture for critical Hawkes processes
Let be an absolutely continuous displacement distribution, let , and let . Let and be defined by the Poisson-embedding recursion, and let be the symmetrized version of . Poisson-embedding convergence conjecture. For every such , converges almost surely to a nonnegative integer as , and these limits define a point process . If is transient, the average intensity of equals ; otherwise it equals . Moreover, converges almost surely pointwise to a limit such that is an -intensity. The claim proposes a concrete construction of critical Hawkes processes and identifies the zero-intensity outcome in the transient/non-transient dichotomy; its assertions are not proved in the supplied text.
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Primary source
Matthias Kirchner, “A note on critical Hawkes processes”, arXiv:1706.03975 (2017).
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