Some probabilistic properties of fractional point processes

DOI10.1080/07362994.2017.1308831MaRDI QIDQ5355184zbMATH OpenOpenAlexFDO

Authors Roberto Garra, Marco Scavino, Enzo Orsingher

Publication date 6 September 2017

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

Full work available at URL https://arxiv.org/abs/1604.05235, http://hdl.handle.net/10754/625048

zbMATH Keywords

fractional point processesgrey Brownian motionBernštein functionsspace-time fractional Poisson processes

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Fractional processes, including fractional Brownian motion (60G22) Fractional derivatives and integrals (26A33)

Abstract: This paper studies the first hitting times of generalized Poisson processes $N^f(t)$, related to Bernstein functions $f$. For the space-fractional Poisson processes, $N^{a}lpha(t)$, $t>0$ (corresponding to $f=x^{a}lpha$), the hitting probabilities $P{T}_k^{a}lpha<infty$ are explicitly obtained and analyzed. The processes $N^f(t)$ are time-changed Poisson processes $N(H^f(t))$ with subordinators $H^f(t)$ and here we study $Nleft(su{m}_{j=1}^n{H}^{f_j}(t)ight)$ and obtain probabilistic features of these extended counting processes. A section of the paper is devoted to processes of the form $N(|mathcal{G}_{H,u}(t)|)$ where $mathcal{G}_{H,u}(t)$ are generalized grey Brownian motions. This involves the theory of time-dependent fractional operators of the McBride form. While the time-fractional Poisson process is a renewal process, we prove that the space-time Poisson process is no longer a renewal process.

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Cited in

(21)

• State dependent versions of the space-time fractional Poisson process
• Point processes subordinated to compound Poisson processes
• A simple proof of the Lévy-Khintchine formula for subordinators
• On the governing equations for Poisson and Skellam processes time-changed by inverse subordinators
• Poisson process with different Brownian clocks
• Statistical properties of several models of fractional random point processes
• Fractional Poisson process with random drift
• The space-fractional Poisson process
• Counting processes with Bernštein intertimes and random jumps
• Properties of Poisson processes directed by compound Poisson-gamma subordinators
• Non-homogeneous and time-changed versions of generalized counting processes
• A generalization of the space-fractional Poisson process and its connection to some Lévy processes
• Generalized fractional calculus and some models of generalized counting processes
• On martingale characterizations for some generalized space fractional Poisson processes
• A unified approach to compound Poisson process and its time-fractional versions
• Compositions of Poisson and Gamma processes
• Competing risks and shock models governed by a generalized bivariate Poisson process
• Recent developments on fractional point processes
• Time-changed space-time fractional Poisson process
• On distributions of certain state-dependent fractional point processes
• On spectral properties of stationary random processes connected by a special random time change

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