A fractional generalization of the Poisson processes
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Publication:817099
zbMATH Open1087.60064arXivmath/0701454MaRDI QIDQ817099FDOQ817099
Authors: Enrico Scalas, Francesco Mainardi, Rudolf Gorenflo 
Publication date: 7 March 2006
Published in: Vietnam Journal of Mathematics (Search for Journal in Brave)
Abstract: It is our intention to provide via fractional calculus a generalization of the pure and compound Poisson processes, which are known to play a fundamental role in renewal theory, without and with reward, respectively. We first recall the basic renewal theory including its fundamental concepts like waiting time between events, the survival probability, the counting function. If the waiting time is exponentially distributed we have a Poisson process, which is Markovian. However, other waiting time distributions are also relevant in applications, in particular such ones with a fat tail caused by a power law decay of its density. In this context we analyze a non-Markovian renewal process with a waiting time distribution described by the Mittag-Leffler function. This distribution, containing the exponential as particular case, is shown to play a fundamental role in the infinite thinning procedure of a generic renewal process governed by a power asymptotic waiting time. We then consider the renewal theory with reward that implies a random walk subordinated to a renewal process.
Full work available at URL: https://arxiv.org/abs/math/0701454
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Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Representations of entire functions of one complex variable by series and integrals (30D10) Renewal theory (60K05)
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