3 papers
math.PR2025
Sample Path Large Deviations for Multivariate Heavy-Tailed Hawkes Processes and Related Lévy Processes
Jose Blanchet, Roger J. A. Laeven, Xingyu Wang +1
In this paper, we develop sample path large deviations for multivariate Hawkes processes with heavy-tailed mutual excitation rates. Our results address a broad class of rare events…
math.PR2025
Tail Asymptotics of Cluster Sizes in Multivariate Heavy-Tailed Hawkes Processes
Jose Blanchet, Roger J. A. Laeven, Xingyu Wang +1
We examine a distributional fixed-point equation related to a multi-type branching process that is key in the cluster sizes analysis of multivariate heavy-tailed Hawkes processes.…
cs.LG2025
Multi-agent Multi-armed Bandit with Fully Heavy-tailed Dynamics
Xingyu Wang, Mengfan Xu
We study decentralized multi-agent multi-armed bandits in fully heavy-tailed settings, where clients communicate over sparse random graphs with heavy-tailed degree distributions an…