 Stability results for a general class of interacting point processes dynamics, and applicationsLaurent Massoulié Stochastic Processes and their Applications, 1998, vol. 75, issue 1, 1-30 Abstract: The focus in this article is on point processes on a product space that satisfy stochastic differential equations with a Poisson process as one of the driving processes. The questions we address are that of existence and uniqueness of both stationary and non stationary solutions, and convergence (either weakly or in variation) of the law of non-stationary solutions to the stationary distribution. Theorems 1 and 3 (respectively, 2 and 4) provide sufficient conditions for these properties to hold and extend previous results of Kerstan (1964) (respectively, Br) to a more general framework. Theorem 5 provides yet another set of sufficient conditions which, although they apply only to a very specific instance of the general model, enable to drop the Lipschitz continuity condition made in Theorems 1-4. These results are then used to derive sufficient ergodicity conditions for models of (i) loss networks, (ii) spontaneously excitable random media, and (iii) stochastic neuron networks. Keywords: Point; processes; Stochastic; intensity; Stationary; point; processes; Hawkes; processes; Stochastic; differential; equations; Ergodicity; Neuron; networks (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:75:y:1998:i:1:p:1-30 Ordering information: This journal article can be ordered from Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
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