Compositions, random sums and continued random fractions of Poisson and fractional Poisson processes

DOI10.1007/S10955-012-0534-6MaRDI QIDQ452030zbMATH OpenOpenAlexFDO

Authors Enzo Orsingher, Federico Polito

Publication date 19 September 2012

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1107.2876

zbMATH Keywords

continued fractionsgolden ratioMittag-Leffler functionsFibonacci numbersBell polynomialsMellin transformsLinnik distributiondiscrete Mittag-Leffler distributionfractional birth process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Fractional processes, including fractional Brownian motion (60G22)

Abstract: In this paper we consider the relation between random sums and compositions of different processes. In particular, for independent Poisson processes $N_{a}lpha(t)$, $$, $t>0$, we show that $$, where the $X_j$s are Poisson random variables. We present a series of similar cases, the most general of which is the one in which the outer process is Poisson and the inner one is a nonlinear fractional birth process. We highlight generalisations of these results where the external process is infinitely divisible. A section of the paper concerns compositions of the form $N_{a}lpha(a{u}_k^u)$, $uin(0,1]$, where $a{u}_k^u$ is the inverse of the fractional Poisson process, and we show how these compositions can be represented as random sums. Furthermore we study compositions of the form $Theta(N(t))$, $t>0$, which can be represented as random products. The last section is devoted to studying continued fractions of Cauchy random variables with a Poisson number of levels. We evaluate the exact distribution and derive the scale parameter in terms of ratios of Fibonacci numbers.

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Cited in

(13)

• Time-changed Poisson processes of order \(k\)
• A probabilistic interpretation of the Bell polynomials
• The space-fractional Poisson process
• Population processes sampled at random times
• Counting processes with Bernštein intertimes and random jumps
• Properties of Poisson processes directed by compound Poisson-gamma subordinators
• A probabilistic generalization of the Bell polynomials
• Generalized iterated Poisson process and applications
• Compound Poisson process with a Poisson subordinator
• A past inaccuracy measure based on the reversed relevation transform
• Squirrels can remember little: a random walk with jump reversals induced by a discrete-time renewal process
• Some Poisson-based processes at geometric times
• The Bell-Touchard counting process

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• ARfit

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