Mean-Field Limits for Nearly Unstable Hawkes Processes

Gr\'egoire Szymanski and Wei Xu

Papers from arXiv.org

Abstract: In this paper, we establish general scaling limits for nearly unstable Hawkes processes in a mean-field regime by extending the method introduced by Jaisson and Rosenbaum. Under a mild asymptotic criticality condition on the self-exciting kernels $\{\phi^n\}$, specifically $\|\phi^n\|_{L^1} \to 1$, we first show that the scaling limits of these Hawkes processes are necessarily stochastic Volterra diffusions of affine type. Moreover, we establish a propagation of chaos result for Hawkes systems with mean-field interactions, highlighting three distinct regimes for the limiting processes, which depend on the asymptotics of $n(1-\|\phi^n\|_{L^1})^2$. These results provide a significant generalization of the findings by Delattre, Fournier and Hoffmann.

Date: 2025-01
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