Randomly stopped nonlinear fractional birth processes

DOI10.1080/07362994.2013.759495MaRDI QIDQ4916957zbMATH OpenOpenAlexFDO

Authors Federico Polito, Enzo Orsingher

Publication date 26 April 2013

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1107.2878

zbMATH Keywords

fractional derivativefractional nonlinear pure birth processesLamperti lawWright functions

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: We present and analyse the nonlinear classical pure birth process $mathpzcN(t)$, $t>0$, and the fractional pure birth process $mathpzc{N}^u(t)$, $t>0$, subordinated to various random times, namely the first-passage time $T_t$ of the standard Brownian motion $B(t)$, $t>0$, the $alpha$-stable subordinator $mathpzc{S}^{a}lpha(t)$, $alphain(0,1)$, and others. For all of them we derive the state probability distribution $hat{p}_k(t)$, $kgeq1$ and, in some cases, we also present the corresponding governing differential equation. We also highlight interesting interpretations for both the subordinated classical birth process $hatmathpzcN(t)$, $t>0$, and its fractional counterpart $hat{mathpzcN}^u(t)$, $t>0$ in terms of classical birth processes with random rates evaluated on a stretched or squashed time scale. Various types of compositions of the fractional pure birth process $mathpzc{N}^u(t)$ have been examined in the last part of the paper. In particular, the processes $mathpzc{N}^u(T_t)$, $mathpzc{N}^u(mathpzc{S}^{a}lpha(t))$, $mathpzc{N}^u(T_{2u}(t))$, have been analysed, where $T_{2u}(t)$, $t>0$, is a process related to fractional diffusion equations. Also the related process $mathpzcN(mathpzc{S}^{a}lpha(T_{2u}(t)))$ is investigated and compared with $mathpzcN(T_{2u}(mathpzc{S}^{a}lpha(t)))=mathpzc{N}^u(mathpzc{S}^{a}lpha(t))$. As a byproduct of our analysis, some formulae relating Mittag--Leffler functions are obtained.

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Cited in

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