Hawkes process

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In probability theory and statistics, a Hawkes process is an age-dependent branching process driven by immigration from an inhomogeneous Poisson process. The process, named after Alan G. Hawkes, is also called a self-exciting point process., i.e., the occurrence of an event increases the likelihood of another event occurring. It has arrivals at times 0 < t 1 < t 2 < t 3 < ⋯ {\textstyle 0<t_{1}<t_{2}<t_{3}<\cdots } where the infinitesimal probability of an arrival during the time interval [ t , t + d t ) {\textstyle [t,t+dt)} is λ t...

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