Non-universal power law distribution of intensities of the self-excited Hawkes process: a field-theoretical approach (2001.01195v2)

Abstract: The Hawkes self-excited point process provides an efficient representation of the bursty intermittent dynamics of many physical, biological, geological and economic systems. By expressing the probability for the next event per unit time (called "intensity"), say of an earthquake, as a sum over all past events of (possibly) long-memory kernels, the Hawkes model is non-Markovian. By mapping the Hawkes model onto stochastic partial differential equations that are Markovian, we develop a field theoretical approach in terms of probability density functionals. Solving the steady-state equations, we predict a power law scaling of the probability density function (PDF) of the intensities close to the critical point $n=1$ of the Hawkes process, with a non-universal exponent, function of the background intensity $\nu_0$ of the Hawkes intensity, the average time scale of the memory kernel and the branching ratio $n$. Our theoretical predictions are confirmed by numerical simulations.