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Fluctuations for spatially extended Hawkes processes

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  • Chevallier, Julien
  • Ost, Guilherme

Abstract

In a previous paper Chevallier et al. (2018), it has been shown that the mean-field limit of spatially extended Hawkes processes is characterized as the unique solution u(t,x) of a neural field equation (NFE). The value u(t,x) represents the membrane potential at time t of a typical neuron located in position x, embedded in an infinite network of neurons. In the present paper, we complement this result by studying the fluctuations of such a stochastic system around its mean field limit u(t,x). Our first main result is a central limit theorem stating that the spatial distribution associated to these fluctuations converges to the unique solution of some stochastic differential equation driven by a Gaussian noise. In our second main result we show that the solutions of this stochastic differential equation can be well approximated by a stochastic version of the neural field equation satisfied by u(t,x). To the best of our knowledge, this result appears to be new in the literature.

Suggested Citation

  • Chevallier, Julien & Ost, Guilherme, 2020. "Fluctuations for spatially extended Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5510-5542.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:9:p:5510-5542
    DOI: 10.1016/j.spa.2020.03.015
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    References listed on IDEAS

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    1. Ditlevsen, Susanne & Löcherbach, Eva, 2017. "Multi-class oscillating systems of interacting neurons," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1840-1869.
    2. Volker Pernice & Benjamin Staude & Stefano Cardanobile & Stefan Rotter, 2011. "How Structure Determines Correlations in Neuronal Networks," PLOS Computational Biology, Public Library of Science, vol. 7(5), pages 1-14, May.
    3. Hitsuda, Masuyuki & Mitoma, Itaru, 1986. "Tightness problem and stochastic evolution equation arising from fluctuation phenomena for interacting diffusions," Journal of Multivariate Analysis, Elsevier, vol. 19(2), pages 311-328, August.
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    1. Pfaffelhuber, P. & Rotter, S. & Stiefel, J., 2022. "Mean-field limits for non-linear Hawkes processes with excitation and inhibition," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 57-78.

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