Introduction to Hawkes Processes

21.06.2022, 13:00  –  Raum 2.22 Haus 9, Golm
Forschungsseminar Wahrscheinlichkeitstheorie

Laetitia Colombani (U Toulouse)

Hawkes processes were introduced by Hawkes in 1971, and are widely used in many applications (earthquakes, neurons, social network, finance, etc.) They are random point processes on the real line, and their intensity depends on the past. "Self-exciting" Hawkes processes have been particularly studied and some asymptotic results are well-known. Here, I will describe Hawkes process, their construction and my work on "self-inhibiting" Hawkes process, with a law of large numbers.

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