Multivariate fractional Poisson processes and compound sums

DOI10.1017/APR.2016.23MaRDI QIDQ2830876zbMATH OpenOpenAlexFDO

Authors Claudio Macci, L. Beghin

Publication date 1 November 2016

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.05805, https://projecteuclid.org/euclid.aap/1474296310

zbMATH Keywords

conditional independenceFox-Wright functionfractional differential equationfractional Poisson processesrandom time-change

Mathematics Subject Classification ID

Mittag-Leffler functions and generalizations (33E12) Fractional ordinary differential equations (34A08) Fractional processes, including fractional Brownian motion (60G22) Stable stochastic processes (60G52) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: In this paper we present multivariate space-time fractional Poisson processes by considering common random time-changes of a (finite-dimensional) vector of independent classical (non-fractional) Poisson processes. In some cases we also consider compound processes. We obtain some equations in terms of some suitable fractional derivatives and fractional difference operators, which provides the extension of known equations for the univariate processes.

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