Skellam Type Processes of Order K and Beyond

DOI10.3390/E22111193arXiv2003.09471WikidataQ104108621 ScholiaQ104108621MaRDI QIDQ6337141FDOQ6337141

Authors: Neha Gupta, Nikolai N. Leonenko 

Publication date: 20 March 2020

Abstract: In this article, we introduce Skellam process of order k and its running average. We also discuss the time-changed Skellam process of order k. In particular we discuss space-fractional Skellam process and tempered space-fractional Skellam process via time changes in Poisson process by independent stable subordinator and tempered stable subordinator, respectively. We derive the marginal probabilities, Levy measures, governing difference-differential equations of the introduced processes. Our results generalize Skellam process and running average of Poisson process in several directions.

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