The fractional Poisson process and the inverse stable subordinator

DOI10.1214/EJP.V16-920zbMATH Open1245.60084arXiv1007.5051OpenAlexW2132017387MaRDI QIDQ428537FDOQ428537

Erkan Nane, P. Vellaisamy, Mark M. Meerschaert

Publication date: 22 June 2012

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

Abstract: The fractional Poisson process is a renewal process with Mittag-Leffler waiting times. Its distributions solve a time-fractional analogue of the Kolmogorov forward equation for a Poisson process. This paper shows that a traditional Poisson process, with the time variable replaced by an independent inverse stable subordinator, is also a fractional Poisson process. This result unifies the two main approaches in the stochastic theory of time-fractional diffusion equations. The equivalence extends to a broad class of renewal processes that include models for tempered fractional diffusion, and distributed-order (e.g., ultraslow) fractional diffusion. The paper also establishes an interesting connection between the fractional Poisson process and Brownian time.

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

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zbMATH Keywords

renewal processCaputo fractional derivativegeneralized Mittag-Leffler functioninverse stable subordinatorcontinuous time random walk limitdistributed order derivativefractional difference-differential equationsfractional Poisson processMittag- Leffler waiting timetempered fractional derivative

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Mittag-Leffler functions and generalizations (33E12) Renewal theory (60K05)

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