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 independencefractional differential equationFox-Wright functionfractional Poisson processesrandom time-change

Mathematics Subject Classification ID

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

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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• Fractional Poisson processes of order \(k\) and beyond
• Alternative forms of compound fractional Poisson processes
• Fractional discrete processes: compound and mixed Poisson representations
• Multifractional Poisson process, multistable subordinator and related limit theorems
• State dependent versions of the space-time fractional Poisson process
• Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics
• Subordinated compound Poisson processes of order \(k\)
• Compositions, random sums and continued random fractions of Poisson and fractional Poisson processes
• Space-fractional versions of the negative binomial and Polya-type processes
• Asymptotic results for a multivariate version of the alternative fractional Poisson process
• Competing risks and shock models governed by a generalized bivariate Poisson process
• Estimation of parameters in the fractional compound Poisson process
• Generalized iterated Poisson process and applications
• Bivariate tempered space-fractional Poisson process and shock models
• Recent developments on fractional point processes
• Some results for multidimensional stationary independent increment processes
• A class of CTRWs: compound fractional Poisson processes
• Fractional Poisson fields and martingales
• Multivariate claim processes with rough intensities: properties and estimation

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