Properties of integrals with respect to fractional Poisson processes with compact kernels

DOI10.1090/S0094-9000-2015-00941-8MaRDI QIDQ2944759zbMATH OpenFDO

Authors Yuliya S. Mishura, V. P. Zubchenko

Publication date 8 September 2015

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/S0094-9000-2015-00941-8

zbMATH Keywords

Bichteler-Jacod inequalityfractional Poisson processintegral representationMandelbrot-Van Ness kernelMolchan-Golosov kernelstochastic integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integrals (60H05)

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Cites work

• A fractional generalization of the Poisson processes
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• Fractional Lévy processes as a result of compact interval integral transformation
• Fractional Lévy processes with an application to long memory moving average processes
• scientific article; zbMATH DE number 3288291 (Why is no real title available?)
• Identification and properties of real harmonizable fractional Lévy motions
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion
• Regular dependence on initial data for stochastic evolution equations with multiplicative Poisson noise
• Renewal processes of Mittag-Leffler and Wright type
• Spectral representations of infinitely divisible processes
• Stochastic calculus for fractional Brownian motion and related processes.
• The fractional Poisson process and the inverse stable subordinator
• Transformation formulas for fractional Brownian motion

Cited in

(4)

• On the integral of fractional Poisson processes
• Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise
• Parameter estimation for a discrete time model driven by fractional Poisson process
• Stochastic mortality model with respect to mixed fractional Poisson process: calibration and empirical analysis of long-range dependence in actuarial valuation

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