Limit Theorems for Multivariate

Hawkes Processes.
Luis Iván Hernández Ruíz (D2)
京都大学理学研究科数学教室
指導教官：矢野 孝次

2022年8月29日
ヤングサマーセミナー
What is interesting about Hawkes Processes?
• A self-exciting process or mutually exciting processes (Hawkes 1971).
• Earthquakes (Ogata, 1988), epidemics (Kim et. al., 2019),
financial data (Bacry, 2012): Some limit theorems for Hawkes
processes and application to financial statistics.
Point Process
• Consider a c.s.m.s , and denote by the set of all locally finite
counting measures on , and its Borel σ-field .

is a counting measure

is a random variable
Martingale construction
• We work on
 Intensity of the Point Process
Point process adapted to , and nonnegative and pro-
gressive such that a.s.

is a martingale.

Hawkes Process:
Multivariate Hawkes Process
• In this case, we additionally have taking values in
• Define the counting processes

• Then, the process is characterized by the intensity

is a martingale, where
Renewal-type equation for the mean.
• From here on, we assume

• Define , then,

• From the definition of intensity

the solution is

• Furthermore,
Law of Large Numbers
• Finding the limit:
• Let us take and assume that componentwise
• As a consequence, the same relation holds componentwise for

• Then we have that

uniformly in ,
since
 Law of Large Numbers
• Convergence in • Almost sure convergence

From Doob’s inequality Define the martingale

From the previous relation It holds that

Central Limit Theorem
• The martingales have uniformly bounded jumps.
• Apply martingale CLT from

• It is then enough to show that , with

. This follows from the tightness
Current work
• Renewal Hawkes Process

where, and is the index of the last renewal.

• Under the extra assumptions

References
• Emmanuel Bacry, Sylvain Delattre, Marc Hofmann, and Jean-Francois Muzy. Some limit theorems
for Hawkes processes and application to financial statistics. Stochastic Processes and their
Applications, 123(7):2475 { 2499, 2013. A Special Issue on the Occasion of the 2013 International
Year of Statistics.
• D. J. Daley and D. Vere-Jones. An introduction to the theory of point processes. Vol. I. Probability
and its Applications (New York). Springer-Verlag, New York, second edition, 2003.
• Alan G. Hawkes and David Oakes. A cluster process representation of a self-exciting process.
Journal of Applied Probability, 11(3):493{503, 1974.
• Bremaud Pierre. Point processes and queues : martingale dynamics. Springer series in statistics.
Springer-Verlag, New York, cop. 1981.
• Yoshiko Ogata. The asymptotic behaviour of maximum likelihood estimators for stationary point
processes. Annals of the Institute of Statistical Mathematics, 30(2):243{261, 1978.
• M. Kim, D. Paini, and R. Jurdak. Modeling stochastic processes in disease spread across a
heterogeneous social system. Proceedings of the National Academy of Sciences, 116(2):401{406,
2019.
Thank you for your attention