The fractional Poisson process and the inverse stable subordinator
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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.
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Cited in
(only showing first 100 items - show all)- Large deviations for fractional Poisson processes
- On the integral of fractional Poisson processes
- Fractional Tikhonov regularization method in Hilbert scales
- Time-inhomogeneous jump processes and variable order operators
- Fractionally integrated inverse stable subordinators
- Anomalous random flights and time-fractional run-and-tumble equations
- Mixed fractional risk process
- General fractional calculus, evolution equations, and renewal processes
- Estimation of parameters in the fractional compound Poisson process
- Convoluted fractional Poisson process of order k
- Tempered Mittag-Leffler Lévy processes
- Fractional counting process at Lévy times and its applications
- Generalized iterated Poisson process and applications
- Path dynamics of time-changed Lévy processes: a martingale approach
- On the generalized birth-death process and its linear versions
- Some families of random fields related to multiparameter Lévy processes
- Bivariate tempered space-fractional Poisson process and shock models
- On the transient behaviour of fractional \(M/M/\infty\) queues
- Recent developments on fractional point processes
- Inverse tempered stable subordinators and related processes with Mellin transform
- Estimates on the tail probabilities of subordinators and applications to general time fractional equations
- On the long-range dependence of mixed fractional Poisson process
- The fractional non-homogeneous Poisson process
- Random-time processes governed by differential equations of fractional distributed order
- Time-changed space-time fractional Poisson process
- Anomalous diffusion: models, their analysis, and interpretation
- Stochastic models with mixtures of tempered stable subordinators
- Complexity and the fractional calculus
- Time series models associated with Mittag-Leffler type distributions and its properties
- Iterated Poisson processes for catastrophic risk modeling in ruin theory
- Competing risks driven by Mittag-Leffler distributions, under copula and time transformed exponential model
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- On count data models based on Bernstein functions or their inverses
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- Asymptotic behavior and quasi-limiting distributions on time-fractional birth and death processes
- Saigo space-time fractional Poisson process via Adomian decomposition method
- Iterated generalized counting process and its extensions
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- Shock models driven by a bivariate mixture tempered space fractional Poisson process
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- Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
- Moment-based estimation for parameters of general inverse subordinator
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- On multiparameter generalized counting process and its time-changed variants
- Tempered space-time fractional negative binomial process
- Log-Gaussian Cox processes in infinite-dimensional spaces
- Applications of inverse tempered stable subordinators
- Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process
- Approximation of the quasi-deviance function for the time-changed Lévy processes by the first-exit time of the inverse Gaussian subordinator
- Limit theorems for the fractional nonhomogeneous Poisson process
- State-dependent fractional point processes
- A functional limit theorem for stochastic integrals driven by a time-changed symmetric \(\alpha\)-stable Lévy process
- Studies on generalized Yule models
- Generalized Bernoulli process and fractional Poisson process
- Generalized nonlinear Yule models
- FRACTIONAL PROCESSES: FROM POISSON TO BRANCHING ONE
- Fractional Poisson processes of order \(k\) and beyond
- Convoluted fractional Poisson process
- Inverse stable prior for exponential models
- Fractional Negative Binomial and Polya Processes
- Generalized fractional counting process
- Alternative forms of compound fractional Poisson processes
- Fractional discrete processes: compound and mixed Poisson representations
- Fractional Skellam process of order k
- Multifractional Poisson process, multistable subordinator and related limit theorems
- Time-changed Poisson processes of order k
- Randomly stopped nonlinear fractional birth processes
- Fractional Poisson random fields on \(\mathbb{R}^2_+\)
- State dependent versions of the space-time fractional Poisson process
- Commutative and associative properties of the Caputo fractional derivative and its generalizing convolution operator
- Statistical inference for inter-arrival times of extreme events in bursty time series
- Codifference as a practical tool to measure interdependence
- A practical guide to Prabhakar fractional calculus
- On the infinite divisibility of distributions of some inverse subordinators
- The fractional d'Alembert's formulas
- Fractional immigration-death processes
- On Mittag-Leffler distributions and related stochastic processes
- Flexible models for overdispersed and underdispersed count data
- On the multivariate generalized counting process and its time-changed variants
- Fractional Poisson fields
- A generalisation of the fractional Brownian field based on non-Euclidean norms
- Skellam and time-changed variants of the generalized fractional counting process
- On the uniform ergodicity rate of a fractional Ehrenfest urn model
- Filtered fractional Poisson processes
- Fractional Erlang queues
- Generalized fractional Poisson process and related stochastic dynamics
- Fractional time: dishomogeneous Poisson processes vs. homogeneous non-Poisson processes
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