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The Fractional Poisson Process and the Inverse Stable Subordinator

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TLDR
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.

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Fractional Poisson fields and Martingales

TL;DR: In this paper, a martingale characterization for the Fractional Poisson process on the plane is given, and the authors extend this result to Fractionally Poisson fields, obtaining some other characterizations.
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Complexity and the Fractional Calculus

TL;DR: In this article, the mean time interval between two consecutive critical events is infinite, thereby violating the ergodic condition and activating at the same time a stochastic central limit theorem that supports the hypothesis that the Mittag-Leffler function is a universal property of nature.
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On Mittag-Leffler distributions and related stochastic processes

TL;DR: A type-2 Mittag-Leffler process turns out to be the Siegmund dual to Neveu's CSBP block-counting process arising in sampling from P D ( e - t , 0 ) .
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Semi-Markov Models and Motion in Heterogeneous Media

TL;DR: In this article, the authors studied continuous time random walks such that the holding time in each state has a distribution depending on the state itself, and provided integro-differential (backward and forward) equations of Volterra type, exhibiting a position dependent convolution kernel.
Journal ArticleDOI

Semi-Markov graph dynamics.

TL;DR: A model of graph (or network) dynamics based on a Markov chain on the space of possible graphs and a semi-Markov counting process of renewal type where the chain transitions occur at random time instants called epochs is outlined.
References
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Journal ArticleDOI

Correlation Structure of Time-Changed Lévy Processes

TL;DR: In this article, the correlation function for time-changed L evy processes has been studied in the context of continuous time random walks, where the second-order correlation function of a continuous-time random walk is defined.
Journal ArticleDOI

Applications of inverse tempered stable subordinators

TL;DR: This paper shows that the probability density function of an inverse tempered stable subordinator solves a tempered time-fractional diffusion equation, and its “folded” density solves a temperamental telegraph equation.
Journal ArticleDOI

Time-changed Poisson processes

TL;DR: In this article, the authors considered time-changed Poisson processes and derived the governing difference-differential equations (DDEs) for these processes, and derived a new governing partial differential equation for the tempered stable subordinator of index 0 β 1.
Journal ArticleDOI

Fractional Skellam processes with applications to finance

TL;DR: In this paper, the authors define fractional Skellam processes via the time changes in Poisson and Skekam processes by an inverse of a standard stable subordinator.
Posted Content

Inverse Tempered Stable Subordinators

TL;DR: In this paper, the first-hitting time of a tempered β-stable subordinator, also called inverse tempered stable (ITS) subordinator is considered, and the limiting form of the ITS density, as the space variable $x\rightarrow 0$, and its $k$-th order derivatives are obtained.
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