State-dependent fractional point processes

DOI10.1239/JAP/1429282604MaRDI QIDQ5252234zbMATH OpenOpenAlexFDO

Authors Roberto Garra, Federico Polito, Enzo Orsingher

Publication date 29 May 2015

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.6699, https://projecteuclid.org/euclid.jap/1429282604

zbMATH Keywords

Dzhrbashyan-Caputo fractional derivativefractional birth processfractional point processesMittag-Leffler functionPoisson processstable process

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Fractional ordinary differential equations (34A08) Fractional processes, including fractional Brownian motion (60G22) Stable stochastic processes (60G52) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: The aim of this paper is the analysis of the fractional Poisson process where the state probabilities $p_k^{u_k}(t)$, $tge0$, are governed by time-fractional equations of order $0<u_{k}leq1$ depending on the number $k$ of events occurred up to time $t$. We are able to obtain explicitely the Laplace transform of $p_k^{u_k}(t)$ and various representations of state probabilities. We show that the Poisson process with intermediate waiting times depending on $u_k$ differs from that constructed from the fractional state equations (in the case $u_k=u$, for all $k$, they coincide with the time-fractional Poisson process). We also introduce a different form of fractional state-dependent Poisson process as a weighted sum of homogeneous Poisson processes. Finally we consider the fractional birth process governed by equations with state-dependent fractionality.

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Cited in

(27)

• On semi-Markov processes and their Kolmogorov's integro-differential equations
• Initial boundary value problems for a fractional differential equation with hyper-Bessel operator
• Semi-Markov models and motion in heterogeneous media
• Saigo space-time fractional Poisson process via Adomian decomposition method
• Asymptotic results for a multivariate version of the alternative fractional Poisson process
• Semi-Markov processes, integro-differential equations and anomalous diffusion-aggregation
• On discrete-time semi-Markov processes
• On distributions of certain state-dependent fractional point processes
• On a fractional alternating Poisson process
• A fast direct method for block triangular Toeplitz-like with tri-diagonal block systems from time-fractional partial differential equations
• Fractional Poisson processes and their representation by infinite systems of ordinary differential equations
• State dependent versions of the space-time fractional Poisson process
• Extended eigenvalue-eigenvector method
• Asymptotic results for families of random variables having power series distributions
• Time-inhomogeneous jump processes and variable order operators
• Convoluted fractional Poisson process
• On the sum of independent generalized Mittag-Leffler random variables and the related fractional processes
• Time-changed space-time fractional Poisson process
• Adomian Decomposition Method and Fractional Poisson Processes: A Survey
• Generalized nonlinear Yule models
• L-Kuramoto-Sivashinsky SPDEs vs. time-fractional SPIDEs: exact continuity and gradient moduli, 1/2-derivative criticality, and laws
• On the convolution of Mittag-Leffler distributions and its applications to fractional point processes
• Time-inhomogeneous fractional Poisson processes defined by the multistable subordinator
• Fractional processes and their statistical inference: an overview
• On a non-linear birth process with multiple arrivals
• Para-Markov chains and related non-local equations
• Interacting point processes

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