Diffusion approximation of multi-class Hawkes processes: Theoretical and numerical analysis

DOI10.1017/apr.2020.73zbMath1471.60106OpenAlexW3207562472MaRDI QIDQ5156802

Julien Chevallier, Anna Melnykova, Irene Tubikanec

Publication date: 12 October 2021

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/apr.2020.73

zbMATH Keywords

stochastic differential equationsdiffusion processespiecewise deterministic Markov processesHawkes processesneuronal modelsnumerical splitting schemes

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Continuous-time Markov processes on general state spaces (60J25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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