Non-homogeneous space-time fractional Poisson processes

DOI10.1080/07362994.2018.1541749MaRDI QIDQ5742548zbMATH OpenOpenAlexWikidataFDO

Authors Aditya Maheshwari, P. Vellaisamy

Publication date 15 May 2019

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1607.06016

zbMATH Keywords

fractional Poisson processLévy subordinatornon-homogeneous Poisson process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: The space-time fractional Poisson process (STFPP), defined by Orsingher and Poilto in cite{sfpp}, is a generalization of the time fractional Poisson process (TFPP) and the space fractional Poisson process (SFPP). We study the fractional generalization of the non-homogeneous Poisson process and call it the non-homogeneous space-time fractional Poisson process (NSTFPP). We compute their {it pmf} and generating function and investigate the associated differential equation. The limit theorems and the law of iterated logarithm for the NSTFPP process are studied. We study the distributional properties, the asymptotic expansion of the correlation function of the non-homogeneous time fractional Poisson process (NTFPP) and subsequently investigate the long-range dependence (LRD) property of a special NTFPP. We investigate the limit theorem and the LRD property for the fractional non-homogeneous Poisson process (FNPP), studied by Leonenko et. al. (2016). Finally, we present some simulated sample paths of the NSTFPP process.

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Cited in

(14)

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