Large time behavior of critical marked Hawkes processes with heavy tailed marks and related branching particle systems
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arXiv
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| Format: | Preprint |
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2026
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| author | Talarczyk, Anna |
| author_facet | Talarczyk, Anna |
| contents | We study large time behavior of critical marked Hawkes processes and related branching particle systems. In case of marked Hawkes processes we assume that the kernel function has multiplicative form and the marks corresponding to the events are nonnegative and are assigned independently from a common distribution. This distribution is in the normal domain of attraction of a $(1+β)$-stable law with $0<β<1$. Moreover, we assume that the mean number of events triggered by a single event is equal to $1$ (criticality). We show that, as the time is speeded up, if $β$ is small enough then, the event counting process, appropriately normalized, converges to a spectrally positive $1/(1+β)$ stable Lévy process. The convergence holds in law in the Skorokhod space of càdlàg functions equipped with $M_1$ topology. We also study a borderline case. The present paper complements the results of [A.Talarczyk:``A generalized central limit theorem for critical marked Hawkes processes'', arXiv:2504.11612], where the same model was studied in case of ``large'' $β$. We employ techniques involving a branching representation of marked Hawkes processes. This approach allows to study more general branching processes with branching mechanism in the normal domain of attraction of $(1+β)$-stable law. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2605_02420 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Large time behavior of critical marked Hawkes processes with heavy tailed marks and related branching particle systems Talarczyk, Anna Probability We study large time behavior of critical marked Hawkes processes and related branching particle systems. In case of marked Hawkes processes we assume that the kernel function has multiplicative form and the marks corresponding to the events are nonnegative and are assigned independently from a common distribution. This distribution is in the normal domain of attraction of a $(1+β)$-stable law with $0<β<1$. Moreover, we assume that the mean number of events triggered by a single event is equal to $1$ (criticality). We show that, as the time is speeded up, if $β$ is small enough then, the event counting process, appropriately normalized, converges to a spectrally positive $1/(1+β)$ stable Lévy process. The convergence holds in law in the Skorokhod space of càdlàg functions equipped with $M_1$ topology. We also study a borderline case. The present paper complements the results of [A.Talarczyk:``A generalized central limit theorem for critical marked Hawkes processes'', arXiv:2504.11612], where the same model was studied in case of ``large'' $β$. We employ techniques involving a branching representation of marked Hawkes processes. This approach allows to study more general branching processes with branching mechanism in the normal domain of attraction of $(1+β)$-stable law. |
| title | Large time behavior of critical marked Hawkes processes with heavy tailed marks and related branching particle systems |
| topic | Probability |
| url | https://arxiv.org/abs/2605.02420 |