A fractional counting process and its connection with the Poisson process

MaRDI QIDQ2805288zbMATH OpenFDO

Authors Barbara Martinucci, Alessandra Meoli, Antonio Di Crescenzo

Publication date 11 May 2016

Published in ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.06486, http://alea.impa.br/articles/v13/13-12.pdf

zbMATH Keywords

first passage timefractional counting processfractional difference-differential equationsfractional Poisson processMittag-Leffler functionrandom timeWright function

Mathematics Subject Classification ID

Fractional ordinary differential equations (34A08) Fractional processes, including fractional Brownian motion (60G22) Stopping times; optimal stopping problems; gambling theory (60G40) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Abstract: We consider a fractional counting process with jumps of amplitude $1,2,ldots,k$, with $kinmathbbN$, whose probabilities satisfy a suitable system of fractional difference-differential equations. We obtain the moment generating function and the probability law of the resulting process in terms of generalized Mittag-Leffler functions. We also discuss two equivalent representations both in terms of a compound fractional Poisson process and of a subordinator governed by a suitable fractional Cauchy problem. The first occurrence time of a jump of fixed amplitude is proved to have the same distribution as the waiting time of the first event of a classical fractional Poisson process, this extending a well-known property of the Poisson process. When $k=2$ we also express the distribution of the first passage time of the fractional counting process in an integral form. Finally, we show that the ratios given by the powers of the fractional Poisson process and of the counting process over their means tend to 1 in probability.

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