Generalized Fractional Counting Process

DOI10.1007/S10959-022-01160-6arXiv2106.11833MaRDI QIDQ6370964FDOQ6370964

Publication date: 22 June 2021

Abstract: In this paper, we obtain additional results for a fractional counting process introduced and studied by Di Crescenzo et al. (2016). For convenience, we call it the generalized fractional counting process (GFCP). It is shown that the one-dimensional distributions of the GFCP are not infinitely divisible. Its covariance structure is studied using which its long-range dependence property is established. It is shown that the increments of GFCP exhibits the short-range dependence property. Also, we prove that the GFCP is a scaling limit of some continuous time random walk. A particular case of the GFCP, namely, the generalized counting process (GCP) is discussed for which we obtain a limiting result, a martingale result and establish a recurrence relation for its probability mass function. We have shown that many known counting processes such as the Poisson process of order

k

, the P'olya-Aeppli process of order

k

, the negative binomial process and their fractional versions etc. are other special cases of the GFCP. An application of the GCP to risk theory is discussed.

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Fractional processes, including fractional Brownian motion (60G22) Risk models (general) (91B05)

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