Time-changed Poisson processes
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Publication:645448
DOI10.1016/J.SPL.2011.08.002zbMATH Open1227.60063arXiv1105.0657OpenAlexW2006322905MaRDI QIDQ645448FDOQ645448
Authors: Erkan Nane, Arun Kumar, P. Vellaisamy 
Publication date: 15 November 2011
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Abstract: We consider time-changed Poisson processes, and derive the governing difference-differential equations (DDE) these processes. In particular, we consider the time-changed Poisson processes where the the time-change is inverse Gaussian, or its hitting time process, and discuss the governing DDE's. The stable subordinator, inverse stable subordinator and their iterated versions are also considered as time-changes. DDE's corresponding to probability mass functions of these time-changed processes are obtained. Finally, we obtain a new governing partial differential equation for the tempered stable subordinator of index when is a rational number. We then use this result to obtain the governing DDE for the mass function of Poisson process time-changed by tempered stable subordinator. Our results extend and complement the results in Baeumer et al. cite{B-M-N} and Beghin et al. cite{BO-1} in several directions.
Full work available at URL: https://arxiv.org/abs/1105.0657
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hitting timessubordinationinverse Gaussian processdifference-differential equationtempered stable processestime-changed process
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Cited In (30)
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- Random time changes for processes with random birth and death
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