A fractional generalization of the Poisson processes
From MaRDI portal
Abstract: It is our intention to provide via fractional calculus a generalization of the pure and compound Poisson processes, which are known to play a fundamental role in renewal theory, without and with reward, respectively. We first recall the basic renewal theory including its fundamental concepts like waiting time between events, the survival probability, the counting function. If the waiting time is exponentially distributed we have a Poisson process, which is Markovian. However, other waiting time distributions are also relevant in applications, in particular such ones with a fat tail caused by a power law decay of its density. In this context we analyze a non-Markovian renewal process with a waiting time distribution described by the Mittag-Leffler function. This distribution, containing the exponential as particular case, is shown to play a fundamental role in the infinite thinning procedure of a generic renewal process governed by a power asymptotic waiting time. We then consider the renewal theory with reward that implies a random walk subordinated to a renewal process.
Recommendations
- scientific article; zbMATH DE number 2200850
- scientific article; zbMATH DE number 6193920
- Generalized fractional Poisson process and related stochastic dynamics
- Poisson fractional processes
- Fractional Poisson process
- Generalization of the fractional Poisson distribution
- The fractional non-homogeneous Poisson process
- On a fractional alternating Poisson process
- Fractional Poisson process. II
- Fractional Poisson processes of order \(k\) and beyond
Cited in
(only showing first 100 items - show all)- Fractional Poisson processes and related planar random motions
- scientific article; zbMATH DE number 6193920 (Why is no real title available?)
- A fractional Hawkes process. II: Further characterization of the process
- Renewal processes based on generalized Mittag-Leffler waiting times
- Fractional Negative Binomial and Polya Processes
- A renewal process of Mittag-Leffler type.
- Estimation of parameters in the fractional compound Poisson process
- A fractional generalization of the Dirichlet distribution and related distributions
- The fractional non-homogeneous Poisson process
- Simulation and estimation for the fractional Yule process
- Professor Rudolf Gorenflo and his contribution to fractional calculus
- On a fractional alternating Poisson process
- Poisson-type processes governed by fractional and higher-order recursive differential equations
- Fractional Poisson fields
- Hilfer-Prabhakar derivatives and some applications
- A stochastic solution with Gaussian stationary increments of the symmetric space-time fractional diffusion equation
- Modeling anomalous heat transport in geothermal reservoirs via fractional diffusion equations
- On Riesz-Caputo formulation for sequential fractional variational principles
- Fractional discrete processes: compound and mixed Poisson representations
- Fractional time: dishomogeneous Poisson processes vs. homogeneous non-Poisson processes
- The fractional Poisson process and the inverse stable subordinator
- FRACTIONAL PROCESSES: FROM POISSON TO BRANCHING ONE
- Large deviations for fractional Poisson processes
- On the integral of fractional Poisson processes
- Fractional Poisson process time-changed by Lévy subordinator and its inverse
- The space-fractional Poisson process
- Compositions, random sums and continued random fractions of Poisson and fractional Poisson processes
- Fractional non-linear, linear and sublinear death processes
- Fractional variational optimal control problems with delayed arguments
- Applications of inverse tempered stable subordinators
- Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process
- On the long-range dependence of fractional Poisson and negative binomial processes
- A functional limit theorem for stochastic integrals driven by a time-changed symmetric \(\alpha\)-stable Lévy process
- General fractional calculus, evolution equations, and renewal processes
- Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion
- Discussion on the paper ``On simulation and properties of the stable law by L. Devroye and L. James
- Stability analysis of Caputo fractional-order nonlinear systems revisited
- The \(M\)-Wright function in time-fractional diffusion processes: a tutorial survey
- Compound Poisson process with a Poisson subordinator
- On the fractional Poisson process and the discretized stable subordinator
- Density approach to ballistic anomalous diffusion: an exact analytical treatment
- Generalization of the fractional Poisson distribution
- Semi-Markov models and motion in heterogeneous media
- Beyond the Poisson renewal process: a tutorial survey
- On Mittag-Leffler distributions and related stochastic processes
- The on-off network traffic model under intermediate scaling
- Perturbation for fractional-order evolution equation
- Filtered fractional Poisson processes
- Fractional Skellam processes with applications to finance
- Generalized fractional nonlinear birth processes
- Renewal processes of Mittag-Leffler and Wright type
- Random numbers from the tails of probability distributions using the transformation method
- Generalized nonlinear Yule models
- Properties of integrals with respect to fractional Poisson processes with compact kernels
- Queuing models with Mittag-Leffler inter-event times
- Parameter estimation for fractional Poisson processes
- Random-time processes governed by differential equations of fractional distributed order
- Fractional relaxation equations and Brownian crossing probabilities of a random boundary
- Exploiting the time-dynamics of news diffusion on the internet through a generalized susceptible-infected model
- Alternative forms of compound fractional Poisson processes
- Generalized fractional Poisson process and related stochastic dynamics
- Multifractional Poisson process, multistable subordinator and related limit theorems
- Moments for tempered fractional advection-diffusion equations
- Anomalous diffusion: models, their analysis, and interpretation
- State-dependent fractional point processes
- Fractional Poisson fields and martingales
- A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
- Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
- Fractional processes and their statistical inference: an overview
- On the transient behaviour of fractional \(M/M/\infty\) queues
- Recent developments on fractional point processes
- scientific article; zbMATH DE number 7256147 (Why is no real title available?)
- A chaotic decomposition for the fractional Lebesgue-Pascal noise space
- Current algebra, statistical mechanics and quantum models
- On martingale characterizations of generalized counting process and its time-changed variants
- Application of the time-fractional diffusion equation to methyl alcohol mass transfer in silica
- A note on Hadamard fractional differential equations with varying coefficients and their applications in probability
- Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics
- Squirrels can remember little: a random walk with jump reversals induced by a discrete-time renewal process
- scientific article; zbMATH DE number 710773 (Why is no real title available?)
- On the sum of independent generalized Mittag-Leffler random variables and the related fractional processes
- Fractional immigration-death processes
- Fractional duals of the Poisson process on time scales with applications in cryptography
- The Mittag-Leffler function in the thinning theory for renewal processes
- On discrete-time semi-Markov processes
- Renewal processes linked to fractional relaxation equations with variable order
- Asymptotic results for a multivariate version of the alternative fractional Poisson process
- Fractional Poisson process: long-range dependence and applications in ruin theory - Correction
- On the convergence of quadratic variation for compound fractional Poisson processes
- Weakly driven anomalous diffusion in non-ergodic regime: an analytical solution
- Optimal layer reinsurance for compound fractional Poisson model
- Bounds for mixing times for finite semi-Markov processes with heavy-tail jump distribution
- Skellam and time-changed variants of the generalized fractional counting process
- Fractional risk process in insurance
- Studies on generalized Yule models
- Generalized master equations for random walks with time-dependent jump sizes
- Time-inhomogeneous fractional Poisson processes defined by the multistable subordinator
- Fractional Gamma noise functionals
- Correlated fractional counting processes on a finite-time interval
- On distributions of certain state-dependent fractional point processes
This page was built for publication: A fractional generalization of the Poisson processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q817099)
