Spatiotemporal Hawkes processes with a graphon-induced connectivity structure

arXiv (Cornell University)

Abstract

We introduce a spatiotemporal self-exciting point process $(N_t(x))$, boundedly finite both over time $[0,\infty)$ and space $\mathscr X$, with excitation structure determined by a graphon $W$ on $\mathscr{X}^2$. This graphon Hawkes process generalizes both the multivariate Hawkes process and the Hawkes process on a countable network, and despite being infinite-dimensional, it is surprisingly tractable. After proving existence, uniqueness and stability results, we show, both in the annealed and in the quenched case, that for compact, Euclidean $\mathscr X\subset\mathbb R^m$, any graphon Hawkes process can be obtained as the suitable limit of $d$-dimensional Hawkes processes $\tilde N^d$, as $d\to\infty$. Furthermore, in the stable regime, we establish an FLLN and an FCLT for our infinite-dimensional process on compact $\mathscr X\subset\mathbb R^m$, while in the unstable regime we prove divergence of $N_T(\mathscr X)/T$, as $T\to\infty$. Finally, we exploit a cluster representation to derive fixed-point equations for the Laplace functional of $N$, for which we set up a recursive approximation procedure. We apply these results to show that, starting with multivariate Hawkes processes $\tilde N^d_t$ converging to stable graphon Hawkes processes, the limits $d\to\infty$ and $t\to\infty$ commute.

Authors 3

1. Justin Baars Aachen

   Leiden University · University of Amsterdam · Eindhoven University of Technology · Tilburg University · Amsterdam University of Applied Sciences · Amsterdam University College

   Affiliation as printed

   Amsterdam Business School , University of Amsterdam

   Dept. of Quantitative Economics , University of Amsterdam . RL is also with Eurandom , Eindhoven University of Technology , and with CentER , Tilburg University. MM is with the Mathematical Institute , Leiden University , and is also affiliated with Korteweg-de Vries Institute for Mathematics , University of Amsterdam ; Eurandom , Eindhoven University of Technology , Eindhoven ;

2. Roger J. A. Laeven Aachen

   Leiden University · University of Amsterdam · Eindhoven University of Technology · Tilburg University

   Affiliation as printed

   Dept. of Quantitative Economics , University of Amsterdam . RL is also with Eurandom , Eindhoven University of Technology , and with CentER , Tilburg University. MM is with the Mathematical Institute , Leiden University , and is also affiliated with Korteweg-de Vries Institute for Mathematics , University of Amsterdam ; Eurandom , Eindhoven University of Technology , Eindhoven ;

3. Michel Mandjes Aachen

   Leiden University · University of Amsterdam · Eindhoven University of Technology · Tilburg University

   Affiliation as printed

   Dept. of Quantitative Economics , University of Amsterdam . RL is also with Eurandom , Eindhoven University of Technology , and with CentER , Tilburg University. MM is with the Mathematical Institute , Leiden University , and is also affiliated with Korteweg-de Vries Institute for Mathematics , University of Amsterdam ; Eurandom , Eindhoven University of Technology , Eindhoven ;