Fractional Poisson processes of order k and beyond

DOI10.1007/S10959-023-01268-3MaRDI QIDQ6071176zbMATH OpenOpenAlexFDO

Authors Neha Gupta

Publication date 21 November 2023

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2008.06022

zbMATH Keywords

Poisson process of order \(k\)space-fractional Poisson processtime-fractional Poisson process

Mathematics Subject Classification ID

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

Abstract: In this article, we introduce fractional Poisson felds of order k in n-dimensional Euclidean space $R_n^{+}$. We also work on time-fractional Poisson process of order k, space-fractional Poisson process of order k and tempered version of time-space fractional Poisson process of order k in one dimensional Euclidean space $R_1^{+}$. These processes are defined in terms of fractional compound Poisson processes. Time-fractional Poisson process of order k naturally generalizes the Poisson process and Poisson process of order k to a heavy tailed waiting times counting process. The space-fractional Poisson process of order k, allows on average infinite number of arrivals in any interval. We derive the marginal probabilities, governing difference-differential equations of the introduced processes. We also provide Watanabe martingale characterization for some time-changed Poisson processes.

Review text

The authors introduce fractional Poisson fields of order \(k\) in \(n\)-dimensional Euclidean space of positive real-valued vectors. They introduce time-fractional Poisson process of order \(k\), space-fractional Poisson process of order \(k\), a tempered version of time-space fractional process of order \(k\) and generalized fractional Poisson processes of order \(k\). They derive the difference-differential equations governing the probability distributions of these processes and derive Watanabe martingale characterization for some time-changed Poisson processes.

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