Large deviations for fractional Poisson processes

DOI10.1016/j.spl.2013.01.017zbMath1266.60046arXiv1204.1446OpenAlexW1989492401MaRDI QIDQ1950771

Claudio Macci, Luisa Beghin

Publication date: 13 May 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.1446

zbMATH Keywords

Mittag-Leffler functionrelative entropyruin probabilityrenewal processweighted Poisson distribution

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10)

Related Items (18)

Hilfer-Prabhakar derivatives and some applications ⋮ Non-central moderate deviations for compound fractional Poisson processes ⋮ A practical guide to Prabhakar fractional calculus ⋮ Fractional Skellam processes with applications to finance ⋮ Alternative forms of compound fractional Poisson processes ⋮ Asymptotic results for families of random variables having power series distributions ⋮ Asymptotic results for a multivariate version of the alternative fractional Poisson process ⋮ Fractional Poisson processes and their representation by infinite systems of ordinary differential equations ⋮ Filtered fractional Poisson processes ⋮ Large deviations for a class of counting processes and some statistical applications ⋮ On the convolution of Mittag–Leffler distributions and its applications to fractional point processes ⋮ An application of fractional differential equations to risk theory ⋮ On the long-range dependence of mixed fractional Poisson process ⋮ Optimal layer reinsurance for compound fractional Poisson model ⋮ Mixed fractional risk process ⋮ Estimation of parameters in the fractional compound Poisson process ⋮ Probability distribution built by Prabhakar function. Related Turán and Laguerre inequalities ⋮ State-Dependent Fractional Point Processes

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