Author

# A. Maheshwari

Bio: A. Maheshwari is an academic researcher from Indian Institute of Management Indore. The author has contributed to research in topic(s): Fractional Poisson process & Subordinator. The author has an hindex of 6, co-authored 14 publication(s) receiving 113 citation(s). Previous affiliations of A. Maheshwari include Indian Institute of Technology Bombay.

##### Papers
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TL;DR: In this article, the short-range dependence (SRD) property of the increments of the fractional Poisson process was discussed, and it was shown that fractional negative binomial process (FNBP) has the same property.
Abstract: We discuss the short-range dependence (SRD) property of the increments of the fractional Poisson process, called the fractional Poissonian noise. We also establish that the fractional negative binomial process (FNBP) has the long-range dependence (LRD) property, while the increments of the FNBP have the SRD property. Our definitions of the SRD/LRD properties are similar to those for a stationary process and different from those recently used in Biard and Saussereau (2014).

28 citations

Journal ArticleDOI
TL;DR: In this paper, the authors studied the fractional Poisson process (FPP) time-changed by an independent Levy subordinator and the inverse of the Levy subordinators, which they call TCFPP-I and TC FPP-II, respectively.
Abstract: In this paper, we study the fractional Poisson process (FPP) time-changed by an independent Levy subordinator and the inverse of the Levy subordinator, which we call TCFPP-I and TCFPP-II, respectively. Various distributional properties of these processes are established. We show that, under certain conditions, the TCFPP-I has the long-range dependence property, and also its law of iterated logarithm is proved. It is shown that the TCFPP-II is a renewal process and its waiting time distribution is identified. The bivariate distributions of the TCFPP-II are derived. Some specific examples for both the processes are discussed. Finally, we present simulations of the sample paths of these processes.

18 citations

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TL;DR: It is established that the fractional negative binomial process (FNBP) has the long-range dependence (LRD) property, while the increments of the FNBP have the SRD property.
Abstract: We study the long-range dependence (LRD) of the increments of the fractional Poisson process (FPP), the fractional negative binomial process (FNBP) and the increments of the FNBP. We first point out an error in the proof of Theorem 1 of Biard and Saussereau (2014) and prove that the increments of the FPP has indeed the short-range dependence (SRD) property, when the fractional index $\beta$ satisfies $0<\beta<\frac{1}{3}$. We also establish that the FNBP has the LRD property, while the increments of the FNBP possesses the SRD property.

17 citations

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TL;DR: In this paper, the authors defined a fractional negative binomial process (FNBP) by replacing the Poisson process by a FPP in the gamma subordinated form of the negative Binomial process.
Abstract: In this paper, we define a fractional negative binomial process (FNBP) by replacing the Poisson process by a fractional Poisson process (FPP) in the gamma subordinated form of the negative binomial process. First, it is shown that the one-dimensional distributions of the FPP are not infinitely divisible. The long-range dependence of the FNBP, the short-range dependence of its increments and the infinite divisibility of the FPP and the FNBP are investigated. Also, the space fractional Polya process (SFPP) is defined by replacing the rate parameter $\lambda$ by a gamma random variable in the definition of the space fractional Poisson process. The properties of the FNBP and the SFPP and the connections to $pde$'$s$ governing the density of the FNBP and the SFPP are also investigated.

16 citations

Journal ArticleDOI
TL;DR: In this article, the Poisson process of order k (PPoK) time-changed with an independent Levy subordinator and its inverse was studied, which they called TCPPoK-I and TCPPoK-II.
Abstract: In this article, we study the Poisson process of order k (PPoK) time-changed with an independent Levy subordinator and its inverse, which we call, respectively, as TCPPoK-I and TCPPoK-II, t...

13 citations

##### Cited by
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2,309 citations

28 Aug 2011
TL;DR: In this paper, it was shown that a traditional Poisson process, with the time variable replaced by an independent inverse stable subordinator, is also a fractional poisson process with Mittag-Leffler waiting times.
Abstract: The fractional Poisson process is a renewal process with Mittag-Leffler waiting times. Its distributions solve a time-fractional analogue of the Kolmogorov forward equation for a Poisson process. This paper shows that a traditional Poisson process, with the time variable replaced by an independent inverse stable subordinator, is also a fractional Poisson process. This result unifies the two main approaches in the stochastic theory of time-fractional diffusion equations. The equivalence extends to a broad class of renewal processes that include models for tempered fractional diffusion, and distributed-order (e.g., ultraslow) fractional diffusion. The paper also {discusses the relation between} the fractional Poisson process and Brownian time.

49 citations

Journal ArticleDOI
Enzo Orsingher
TL;DR: In this paper, the authors considered point processes Nf(t), t > 0, with independent increments and integer-valued jumps whose distribution is expressed in terms of Bernstein functions f with Levy measure ν.
Abstract: In this paper we consider point processes Nf(t), t > 0, with independent increments and integer-valued jumps whose distribution is expressed in terms of Bernstein functions f with Levy measure ν. We obtain the general expression of the probability generating functions Gf of Nf, the equations governing the state probabilities pkf of Nf, and their corresponding explicit forms. We also give the distribution of the first-passage times Tkf of Nf, and the related governing equation. We study in detail the cases of the fractional Poisson process, the relativistic Poisson process, and the gamma-Poisson process whose state probabilities have the form of a negative binomial. The distribution of the times τjlj of jumps with height lj (∑j=1rlj = k) under the condition N(t) = k for all these special processes is investigated in detail.

38 citations

Journal ArticleDOI
TL;DR: In this article, a fractional counting process with jumps of amplitude 1,2,...,k, withk∈N, whose probabilistic ability to satisfy a suitablesystemoffractionaldifference-differential equations is considered.
Abstract: We consider a fractional counting process with jumps of amplitude 1,2,...,k, withk∈N, whoseprobabilitiessatisfy a suitablesystemoffractionaldifference-differential equations. We obtain the moment generating function and the probability law of the result- ing process in terms of generalized Mittag-Leffler functions. We also discuss two equiv- alent representations both in terms of a compound fractional Poisson process and of a subordinator governed by a suitable fractional Cauchy problem. The first occurrence time of a jump of fixed amplitude is proved to have the same distribution as the waiting time of the first event of a classical fractional Poisson process, this extending a well-known property of the Poisson process. When k = 2 we also express the distribution of the first passage time of the fractional counting process in an integral form. Finally, we show that the ratios given by the powers of the fractional Poisson process and of the countingprocess over their means tend to 1 in probability.

22 citations

Journal ArticleDOI
TL;DR: In this paper, the authors studied the fractional Poisson process (FPP) time-changed by an independent Levy subordinator and the inverse of the Levy subordinators, which they call TCFPP-I and TC FPP-II, respectively.
Abstract: In this paper, we study the fractional Poisson process (FPP) time-changed by an independent Levy subordinator and the inverse of the Levy subordinator, which we call TCFPP-I and TCFPP-II, respectively. Various distributional properties of these processes are established. We show that, under certain conditions, the TCFPP-I has the long-range dependence property, and also its law of iterated logarithm is proved. It is shown that the TCFPP-II is a renewal process and its waiting time distribution is identified. The bivariate distributions of the TCFPP-II are derived. Some specific examples for both the processes are discussed. Finally, we present simulations of the sample paths of these processes.

18 citations