Fluctuation limits for mean-field interacting nonlinear Hawkes processes
We investigate the asymptotic behavior of networks of interacting nonlinear Hawkes processes modelling a homogeneous population of neurons in the large population limit. In particular, we prove a functional central limit theorem for the mean spike-activity, thereby characterizing the asymptotic fluctuations in terms of a stochastic Volterra integral equation. Our approach differs from the usual approach via tightness of the associate martingale problem. Instead, we make use of the resolvent of the associated Volterra integral equation in order to represent fluctuations as Skorokhod continuous mappings of weakly converging martingales. Since the Lipschitz properties of the resolvent are explicit, our analysis in principle also allows to derive approximation errors in terms of driving martingales. We also discuss extensions of our results to multi-class systems.
The talk is based on joint work with S. Heesen.