Hawkes Process: Self-Exciting Events

Each event spikes the conditional intensity λ*(t) = μ + Σᵢ φ(t−tᵢ). Branching ratio n = ∫φ(s)ds < 1 ensures stationarity. At n→1, the process becomes critical — infinite aftershock cascades.

Parameters

Kernel: φ(t) = α·e^{−βt}
Branching ratio: n = α/β

n < 1: subcritical, stationary
n → 1: critical, bursty
n > 1: explosive (unstable)

Mean rate: λ̄ = μ/(1−n)

Applications:
• Earthquake aftershocks
• Financial order flow
• Viral social cascades
• Neuronal spike trains
n = α/β =
Events: 0
λ̄ =