Delayed Hawkes birth-death processes

TL;DR

This paper introduces the delayed Hawkes birth-death process, a variant where intensity increases at departures, not arrivals, and explores its properties, scaling limits, and differences from classical Hawkes processes.

Contribution

It formally defines the delayed Hawkes process, develops a cluster representation, and analyzes its asymptotic behavior and moments, expanding the understanding of Hawkes-type models.

Findings

Delayed Hawkes process differs significantly from classical Hawkes in scaling limits.

Cluster representation enables transform analysis and heavy-tailed asymptotics.

Recursive method for calculating moments in Markovian networks.

Abstract

We introduce, and formally establish, a variant of the Hawkes-fed birth-death process -- the delayed Hawkes birth-death process -- in which the conditional intensity does not increase at arrivals but at departures from the system. In a scaling limit where sojourn times are stretched out by a factor $\sqrt T$, after which time gets contracted by a factor $T$, the delayed Hawkes process behaves markedly differently from its classical counterpart. We design a family of models admitting a cluster representation and containing the Hawkes and delayed Hawkes processes as special cases. The cluster representation allows for transform characterizations by a fixed-point equation and for analysis of heavy-tailed asymptotics. We compare the delayed Hawkes process to the classical Hawkes process using stochastic ordering, which enables us to describe stationary distributions and heavy-traffic behavior. In the Markovian network case, a recursive procedure is presented to calculate the $d$th-order moments analytically.