Aarhus Universitets segl

The Hawkes Process with Different Excitation Functions and its Asymptotoc Behavior

by Raúl Fierro, Víctor Leiva and Jesper Møller
CSGB Research Reports Number 10 (December 2013)
The standard Hawkes process is constructed from a homogeneous Poisson process and using the same exciting function for di erent generations of o ffspring. We propose an extension of this process by considering di fferent exciting functions. This consideration could be important to be taken into account in a number of fields; e.g. in seismology, where main shocks produce aftershocks with possibly di fferent intensities. The main results are devoted to the asymptotic behavior of this extension of the Hawkes process. Indeed, a law of large numbers and a central limit theorem are stated. These results allow us to analyze the asymptotic behavior of the process when unpredictable marks are considered.
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