An elementary proof for dynamical scaling for certain fractional non-homogeneous Poisson processes

DOI10.1016/J.SPL.2021.109296zbMATH Open1478.60126arXiv2103.07381OpenAlexW3212368107MaRDI QIDQ2070592FDOQ2070592

Markus Kreer

Publication date: 24 January 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Dynamical scaling is an asymptotic property typical for the dynamics of first-order phase transitions in physical systems and related to self-similarity. Based on the integral-representation for the marginal probabilities of a fractional non-homogeneous Poisson process introduced by Leonenko et al. (2017) and generalising the standard fractional Poisson process, we prove the dynamical scaling under fairly mild conditions. Our result also includes the special case of the standard fractional Poisson process.

Full work available at URL: https://arxiv.org/abs/2103.07381

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zbMATH Keywords

asymptotic analysisM-Wright functioninfinite system of ordinary differential equationsmethod of steepest decent

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Fractional processes, including fractional Brownian motion (60G22) Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15)

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