Poisson-embedding convergence conjecture for critical Hawkes processes

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Let FF be an absolutely continuous displacement distribution, let λ>0\lambda>0, and let BBb(R)B\in\mathcal{B}_b(\operatorname{\mathbb{R}}). Let N(g)N^{(g)} and λ(g)\lambda^{(g)} be defined by the Poisson-embedding recursion, and let F~\tilde{F} be the symmetrized version of FF. Poisson-embedding convergence conjecture. For every such BB, N(g)(B)N^{(g)}(B) converges almost surely to a nonnegative integer as gg\to\infty, and these limits define a point process N()N^{(\infty)}. If F~\tilde{F} is transient, the average intensity of N()N^{(\infty)} equals λ\lambda; otherwise it equals 00. Moreover, λ(g)\lambda^{(g)} converges almost surely pointwise to a limit λ()\lambda^{(\infty)} such that λ()()\lambda^{(\infty)}(\cdot) is an FN()\mathcal{F}^{N^{(\infty)}}-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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