Long memory amplifies rare supercritical excursions under regime switching, creating quenched intermittency and heavy-tailed bursts despite annealed mean-square stability.
Rough fractional diffusions as scaling limits of nearly unstable hawkes processes.Annals of Applied Probability, 26(5):3540– 3570
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Intermittency induced by long memory under stochastic regime switching
Long memory amplifies rare supercritical excursions under regime switching, creating quenched intermittency and heavy-tailed bursts despite annealed mean-square stability.