A fractional counting process and its connection with the Poisson process

zbMATH Open1337.60063arXiv1503.06486MaRDI QIDQ2805288FDOQ2805288

Authors: Barbara Martinucci, Alessandra Meoli, Antonio Di Crescenzo 

Publication date: 11 May 2016

Published in: ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

Abstract: We consider a fractional counting process with jumps of amplitude $1,2,ldots,k$, with $kinmathbbN$, whose probabilities satisfy a suitable system of fractional difference-differential equations. We obtain the moment generating function and the probability law of the resulting process in terms of generalized Mittag-Leffler functions. We also discuss two equivalent representations both in terms of a compound fractional Poisson process and of a subordinator governed by a suitable fractional Cauchy problem. The first occurrence time of a jump of fixed amplitude is proved to have the same distribution as the waiting time of the first event of a classical fractional Poisson process, this extending a well-known property of the Poisson process. When $k=2$ we also express the distribution of the first passage time of the fractional counting process in an integral form. Finally, we show that the ratios given by the powers of the fractional Poisson process and of the counting process over their means tend to 1 in probability.

Full work available at URL: https://arxiv.org/abs/1503.06486

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zbMATH Keywords

Mittag-Leffler functionfirst passage timeWright functionfractional difference-differential equationsfractional Poisson processrandom timefractional counting process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Fractional processes, including fractional Brownian motion (60G22) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Fractional ordinary differential equations (34A08) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (28)

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• Limit theorems for the fractional nonhomogeneous Poisson process
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