The fractional Poisson process and the inverse stable subordinator

From MaRDI portal
Publication:428537

DOI10.1214/EJP.v16-920zbMath1245.60084arXiv1007.5051OpenAlexW2132017387MaRDI QIDQ428537

Erkan Nane, Mark M. Meerschaert, Palaniappan Vellaisamy

Publication date: 22 June 2012

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

Full work available at URL: https://arxiv.org/abs/1007.5051



Related Items

On the convergence of quadratic variation for compound fractional Poisson processes, Subordination and memory dependent kinetics in diffusion and relaxation phenomena, Fractional Poisson processes of order \(k\) and beyond, Queuing models with Mittag-Leffler inter-event times, Convoluted fractional Poisson process of order k, Fractional non-homogeneous Poisson and Pólya-Aeppli processes of order k and beyond, From semi-Markov random evolutions to scattering transport and superdiffusion, Fractional processes and their statistical inference: an overview, A biorthogonal approach to the infinite dimensional fractional Poisson measure, Adomian Decomposition Method and Fractional Poisson Processes: A Survey, Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure, Fractional Discrete Processes: Compound and Mixed Poisson Representations, On the convolution of Mittag–Leffler distributions and its applications to fractional point processes, Time-inhomogeneous fractional Poisson processes defined by the multistable subordinator, Time-changed Poisson processes of order k, Unnamed Item, On the governing equations for Poisson and Skellam processes time-changed by inverse subordinators, State-Dependent Fractional Point Processes, Feynman–Kac equation for anomalous processes with space- and time-dependent forces, Hilfer-Prabhakar derivatives and some applications, Non-central moderate deviations for compound fractional Poisson processes, Statistical inference for inter-arrival times of extreme events in bursty time series, Fractional Relaxation Equations and Brownian Crossing Probabilities of a Random Boundary, Asymptotic behavior and quasi-limiting distributions on time-fractional birth and death processes, Trade duration risk in subdiffusive financial models, Fractional queues with catastrophes and their transient behaviour, On semi-Markov processes and their Kolmogorov's integro-differential equations, Generalization of the fractional Poisson distribution, Characterization of the inverse stable subordinator, Time-inhomogeneous jump processes and variable order operators, The fractional non-homogeneous Poisson process, Fractional Gamma and Gamma-Subordinated Processes, A note on Hadamard fractional differential equations with varying coefficients and their applications in probability, Time-changed space-time fractional Poisson process, Space-fractional versions of the negative binomial and Polya-type processes, Mixtures of Tempered Stable Subordinators, State dependent versions of the space-time fractional Poisson process, Fractional Tikhonov regularization method in Hilbert scales, Fractional Erlang queues, A practical guide to Prabhakar fractional calculus, Fractional Skellam processes with applications to finance, Alternative forms of compound fractional Poisson processes, Convoluted Fractional Poisson Process, Properties of integrals with respect to fractional Poisson processes with compact kernels, Inverse tempered stable subordinators and related processes with Mellin transform, Competing risks driven by Mittag-Leffler distributions, under copula and time transformed exponential model, Semi-Markov models and motion in heterogeneous media, Saigo space-time fractional Poisson process via Adomian decomposition method, Asymptotic results for a multivariate version of the alternative fractional Poisson process, Inverse tempered stable subordinators, On the fractional Poisson process and the discretized stable subordinator, Nonlocal in-time telegraph equation and telegraph processes with random time, Random-time processes governed by differential equations of fractional distributed order, On the long-range dependence of fractional Poisson and negative binomial processes, Squirrels can remember little: a random walk with jump reversals induced by a discrete-time renewal process, On Mittag-Leffler distributions and related stochastic processes, Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics, General fractional calculus, evolution equations, and renewal processes, Risk process with mixture of tempered stable inverse subordinators: analysis and synthesis, The space-fractional Poisson process, A functional limit theorem for stochastic integrals driven by a time-changed symmetric \(\alpha\)-stable Lévy process, Log-Gaussian Cox processes in infinite-dimensional spaces, On the integral of fractional Poisson processes, Large deviations for fractional Poisson processes, Commutative and associative properties of the Caputo fractional derivative and its generalizing convolution operator, Complexity and the fractional calculus, Generalized fractional Poisson process and related stochastic dynamics, Time-changed Poisson processes, Filtered fractional Poisson processes, Applications of inverse tempered stable subordinators, Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process, Generalized fractional nonlinear birth processes, A semigroup approach to fractional Poisson processes, Subordinated compound Poisson processes of order \(k\), Random time-changes and asymptotic results for a class of continuous-time Markov chains on integers with alternating rates, Prabhakar Lévy processes, Fractional Poisson fields and martingales, Fractional immigration-death processes, Generalized nonlinear Yule models, Randomly Stopped Nonlinear Fractional Birth Processes, Parameter estimation for one-sided heavy-tailed distributions, Fractional Negative Binomial and Polya Processes, Relaxation patterns and semi-Markov dynamics, Codifference as a practical tool to measure interdependence, Semi-Markov processes, integro-differential equations and anomalous diffusion-aggregation, On discrete-time semi-Markov processes, Counting processes with Bernštein intertimes and random jumps, Correlated fractional counting processes on a finite-time interval, On the long-range dependence of mixed fractional Poisson process, Optimal layer reinsurance for compound fractional Poisson model, Fractional risk process in insurance, Mixed fractional risk process, Estimation of parameters in the fractional compound Poisson process, On the transient behaviour of fractional \(M/M/\infty\) queues, Recent developments on fractional point processes, Limit theorems for the fractional nonhomogeneous Poisson process, Flexible models for overdispersed and underdispersed count data, Fractional Poisson process time-changed by Lévy subordinator and its inverse, Moment-based estimation for parameters of general inverse subordinator, Tempered fractional Poisson processes and fractional equations with Z-transform, An elementary proof for dynamical scaling for certain fractional non-homogeneous Poisson processes, Time series models associated with Mittag-Leffler type distributions and its properties, On discrete time Prabhakar-generalized fractional Poisson processes and related stochastic dynamics, Inverse stable prior for exponential models, Donsker type theorem for fractional Poisson process, Anomalous Diffusion: Models, Their Analysis, and Interpretation, On the infinite divisibility of distributions of some inverse subordinators, Studies on generalized Yule models, The fractional d'Alembert's formulas, Multifractional Poisson process, multistable subordinator and related limit theorems, Fractional Poisson fields, Generalized fractional counting process, Limit theorems for prices of options written on semi-Markov processes, A generalisation of the fractional Brownian field based on non-Euclidean norms, Tempered Mittag-Leffler Lévy processes, Skellam and time-changed variants of the generalized fractional counting process, On the sum of independent generalized Mittag–Leffler random variables and the related fractional processes, Lévy processes time-changed by the first-exit time of the inverse Gaussian subordinator, Lévy mixing related to distributed order calculus, subordinators and slow diffusions