Time-changed Poisson processes
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Publication:645448
DOI10.1016/J.SPL.2011.08.002zbMATH Open1227.60063OpenAlexW2006322905MaRDI QIDQ645448FDOQ645448
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.
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Cited In (31)
- Fractional discrete processes: compound and mixed Poisson representations
- Time-changed Poisson processes of order \(k\)
- Randomly stopped nonlinear fractional birth processes
- Random time changes for processes with random birth and death
- Skellam and time-changed variants of the generalized fractional counting process
- On the governing equations for Poisson and Skellam processes time-changed by inverse subordinators
- Fractional Poisson process time-changed by Lévy subordinator and its inverse
- Population processes sampled at random times
- Time changes that result in multiple points in continuous-time Markov counting processes
- Correlated fractional counting processes on a finite-time interval
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- On the infinitesimal dispersion of multivariate Markov counting systems
- Time-inhomogeneous fractional Poisson processes defined by the multistable subordinator
- Trajectory composition of Poisson time changes and Markov counting systems
- Counting processes with Bernštein intertimes and random jumps
- Characterization of the inverse stable subordinator
- Properties of Poisson processes directed by compound Poisson-gamma subordinators
- On discrete-time semi-Markov processes
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- Compositions of Poisson and Gamma processes
- Generalized variance functions for infinitely divisible mixture distributions
- Generalized iterated Poisson process and applications
- Bivariate tempered space-fractional Poisson process and shock models
- A characterization of the spatial Poisson process and changing time
- Compound Poisson process with a Poisson subordinator
- Recent developments on fractional point processes
- Time-changed space-time fractional Poisson process
- Time spent below a random threshold by a Poisson driven sequence of observations
- On fractional tempered stable processes and their governing differential equations
- Multivariate claim processes with rough intensities: properties and estimation
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