Ergodicity conjecture for the inhibited discrete-time Hawkes process

Let a,b,cRa,b,c\in\mathbb{R} be parameters of the Markov chain (Xn)(X_n). Let PP be the polynomial associated with these parameters, and write Disc(P)\operatorname{Disc}(P) for its discriminant. Ergodicity conjecture. If b1b\leq 1 and c<0c<0 are such that

Disc(P)<0,\operatorname{Disc}(P)<0,

then (Xn)(X_n) is an ergodic Markov chain.

This conjecture proposes a slight relaxation of the assumptions used in the paper's proven recurrence theorem, motivated by numerical experiments. The available context does not establish the claim, so its resolution remains open.

Sources & referencesView supporting material

Primary source

Manon Costa, Pascal Maillard and Anthony Muraro, “Stability of discrete-time Hawkes process with inhibition: towards a general condition”, arXiv:2409.01660 (2024).

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