Author

# A. Maheshwari

Other affiliations: Indian Institute of Technology Bombay

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 paper, the authors studied the Poisson process of order k (PPoK) time-changed with an independent Levy subordinator and its inverse, which they call respectively, as TCPPoK-I and TCPPOK-II, through various distributional properties, long-range dependence and limit theorems for the PPoK and the TCP-I.

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, through various distributional properties, long-range dependence and limit theorems for the PPoK and the TCPPoK-I. Further, we study the governing difference-differential equations of the TCPPoK-I for the case inverse Gaussian subordinator. Similarly, we study the distributional properties, asymptotic moments and the governing difference-differential equation of TCPPoK-II. As an application to ruin theory, we give a governing differential equation of ruin probability in insurance ruin using these processes. Finally, we present some simulated sample paths of both the processes.

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TL;DR: In this paper, the authors considered a cumulative model where, instead of a renewal process (as in the Poisson case), a linear birth (or Yule) process is used.

Abstract: Stochastic modelling of fatigue (and other material's deterioration), as well as of cumulative damage in risk theory, are often based on compound sums of independent random variables, where the number of addends is represented by an independent counting process. We consider here a cumulative model where, instead of a renewal process (as in the Poisson case), a linear birth (or Yule) process is used. This corresponds to the assumption that the frequency of \textquotedblleft damage" increments accelerates according to the increasing number of \textquotedblleft damages". We start from the partial differential equation satisfied by its transition density, in the case of exponentially distributed addends, and then we generalize it by introducing a space-derivative of convolution type (i.e. defined in terms of the Laplace exponent of a subordinator). Then we are concerned with the solution of integro-differential equations, which, in particular cases, reduce to fractional ones. Correspondingly, we analyze the related cumulative jump processes under a general infinitely divisible distribution of the (positive) jumps. Some special cases (such as the stable, tempered stable, gamma and Poisson) are presented.

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TL;DR: In this paper, the authors present recent results on the fractional versions of point processes and discuss generalization attempted by several authors in this direction, and present some plots and simulations of the well-known fractional Poisson process of Laskin (2003).

Abstract: In the last two decades, the theoretical advancement of the point processes witnessed an important and deep interconnection with the fractional calculus. It was also found that the stable subordinator plays a vital role in this connection. The survey intends to present recent results on the fractional versions of point processes. We will also discuss generalization attempted by several authors in this direction. Finally, we present some plots and simulations of the well-known fractional Poisson process of Laskin (2003).

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TL;DR: In this paper, the authors considered a cumulative model where, instead of a renewal process (as in the Poisson case), a linear birth (or Yule) process is used.

Abstract: Stochastic modelling of fatigue (and other material's deterioration), as well as of cumulative damage in risk theory, are often based on compound sums of independent random variables, where the number of addends is represented by an independent counting process. We consider here a cumulative model where, instead of a renewal process (as in the Poisson case), a linear birth (or Yule) process is used. This corresponds to the assumption that the frequency of \textquotedblleft damage" increments accelerates according to the increasing number of \textquotedblleft damages". We start from the partial differential equation satisfied by its transition density, in the case of exponentially distributed addends, and then we generalize it by introducing a space-derivative of convolution type (i.e. defined in terms of the Laplace exponent of a subordinator). Then we are concerned with the solution of integro-differential equations, which, in particular cases, reduce to fractional ones. Correspondingly, we analyze the related cumulative jump processes under a general infinitely divisible distribution of the (positive) jumps. Some special cases (such as the stable, tempered stable, gamma and Poisson) are presented.

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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

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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

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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

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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