A class of CTRWs: compound fractional Poisson processes

DOI10.1142/9789814340595_0015MaRDI QIDQ3189766zbMATH OpenOpenAlexFDO

Authors Enrico Scalas

Publication date 12 September 2014

Published in Fractional Dynamics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1103.0647, http://hdl.handle.net/20.500.11824/484

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51)

Abstract: This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. The chapter begins with the characterization of a well-known L'evy process: The compound Poisson process. The semi-Markov extension of the compound Poisson process naturally leads to the compound fractional Poisson process, where the Poisson counting process is replaced by the Mittag-Leffler counting process also known as fractional Poisson process. This process is no longer Markovian and L'evy. However, several analytical results are available and some of them are discussed here. The functional limit of the compound Poisson process is an $alpha$-stable L'evy process, whereas in the case of the compound fractional Poisson process, one gets an $alpha$-stable L'evy process subordinated to the fractional Poisson process.

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Cited in

(12)

• Generalised fractional evolution equations of Caputo type
• Alternative forms of compound fractional Poisson processes
• Optimal layer reinsurance for compound fractional Poisson model
• Estimation of parameters in the fractional compound Poisson process
• The probabilistic point of view on the generalized fractional partial differential equations
• On the fractional Poisson process and the discretized stable subordinator
• On fully mixed and multidimensional extensions of the Caputo and Riemann-Liouville derivatives, related Markov processes and fractional differential equations
• Probabilistic solutions to nonlinear fractional differential equations of generalized Caputo and Riemann-Liouville type
• The fractional Hamilton-Jacobi-Bellman equation
• Fractional discrete processes: compound and mixed Poisson representations
• Generalized fractional risk process
• Fractional Poisson random fields on \(\mathbb{R}^2_+\)

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