Some probabilistic properties of fractional point processes

Roberto Garra, Enzo Orsingher, Marco Scavino

Research output: Contribution to journalArticlepeer-review

9 Scopus citations

Abstract

In this article, the first hitting times of generalized Poisson processes N-f (t), related to Bernstein functions f are studied. For the spacefractional Poisson processes, N alpha (t), t > 0 ( corresponding to f = x alpha), the hitting probabilities P{T-k(alpha) < infinity} 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 N(Sigma H-n(j= 1)f j (t)) and obtain probabilistic features of these extended counting processes. A section of the paper is devoted to processes of the form N( G(H,v) (t)) where G(H,v) (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.
Original languageEnglish (US)
Pages (from-to)701-718
Number of pages18
JournalStochastic Analysis and Applications
Volume35
Issue number4
DOIs
StatePublished - May 16 2017

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