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Non-Markovian Inverse Hawkes Processes

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Hawkes processes are a class of self-exciting point processes with a clustering effect whose jump rate is determined by its past history. They are generally regarded as continuous-time processes and have been widely applied in a number of fields, such as insurance, finance, queueing, and statistics. The Hawkes model is generally non-Markovian because its future development depends on the timing of past events. However, it can be Markovian under certain circumstances. If the exciting function is an exponential function or a sum of exponential functions, the model can be Markovian with a generator of the model. In contrast to the general Hawkes processes, the inverse Hawkes process has some specific features and self-excitation indicates severity. Inverse Markovian Hawkes processes were introduced by Seol, who studied some asymptotic behaviors. An extended version of inverse Markovian Hawkes processes was also studied by Seol. With this paper, we propose a non-Markovian inverse Hawkes process, which is a more general inverse Hawkes process that features several existing models of self-exciting processes. In particular, we established both the law of large numbers (LLN) and Central limit theorems (CLT) for a newly considered non-Markovian inverse Hawkes process.
Title: Non-Markovian Inverse Hawkes Processes
Description:
Hawkes processes are a class of self-exciting point processes with a clustering effect whose jump rate is determined by its past history.
They are generally regarded as continuous-time processes and have been widely applied in a number of fields, such as insurance, finance, queueing, and statistics.
The Hawkes model is generally non-Markovian because its future development depends on the timing of past events.
However, it can be Markovian under certain circumstances.
If the exciting function is an exponential function or a sum of exponential functions, the model can be Markovian with a generator of the model.
In contrast to the general Hawkes processes, the inverse Hawkes process has some specific features and self-excitation indicates severity.
Inverse Markovian Hawkes processes were introduced by Seol, who studied some asymptotic behaviors.
An extended version of inverse Markovian Hawkes processes was also studied by Seol.
With this paper, we propose a non-Markovian inverse Hawkes process, which is a more general inverse Hawkes process that features several existing models of self-exciting processes.
In particular, we established both the law of large numbers (LLN) and Central limit theorems (CLT) for a newly considered non-Markovian inverse Hawkes process.

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