A generalization of the space-fractional Poisson process and its connection to some Lévy processes

DOI10.1214/16-ECP4383zbMATH Open1338.60129arXiv1502.03115MaRDI QIDQ287803FDOQ287803

Authors: Federico Polito, Enrico Scalas 

Publication date: 23 May 2016

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: This paper introduces a generalization of the so-called space-fractional Poisson process by extending the difference operator acting on state space present in the associated difference-differential equations to a much more general form. It turns out that this generalization can be put in relation to a specific subordination of a homogeneous Poisson process by means of a subordinator for which it is possible to express the characterizing L'evy measure explicitly. Moreover, the law of this subordinator solves a one-sided first-order differential equation in which a particular convolution-type integral operator appears, called Prabhakar derivative. In the last section of the paper, a similar model is introduced in which the Prabhakar derivative also acts in time. In this case, too, the probability generating function of the corresponding process and the probability distribution are determined.

Full work available at URL: https://arxiv.org/abs/1502.03115

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zbMATH Keywords

subordinationfractional point processesprabhakar derivativePrabhakar integraltime-changeLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Fractional derivatives and integrals (26A33)

Cited In (22)

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• State dependent versions of the space-time fractional Poisson process
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• Adomian Decomposition Method and Fractional Poisson Processes: A Survey
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• A note on Hadamard fractional differential equations with varying coefficients and their applications in probability
• The Prabhakar or three parameter Mittag-Leffler function: theory and application
• Numerical approximation to Prabhakar fractional Sturm-Liouville problem
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• On martingale characterizations for some generalized space fractional Poisson processes
• Competing risks and shock models governed by a generalized bivariate Poisson process
• Analytical treatment of regularized Prabhakar fractional differential equations by invariant subspaces
• On the long-range dependence of mixed fractional Poisson process
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• A new approach for solving multi-variable orders differential equations with Prabhakar function
• Saigo space-time fractional Poisson process via Adomian decomposition method
• Tempered space fractional negative binomial process
• On distributions of certain state-dependent fractional point processes
• Convoluted fractional Poisson process

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