Consider the following space-time fractional heat equation with Riemann-Liouville derivative of non-homogeneous time-fractional Poisson process \begin{eqnarray*} \partial^β_t u(x,t) =-κ(-Δ)^{α/2} u(x,t) + I_t^{1-β}[σ(u)D_t^\vartheta N^ν_λ(t)], \,\, t\geq 0, \,x \in \mathbb{R}^d, \end{eqnarray*} where $κ>0, \,\,β,\,\vartheta\in(0,1), \,\,ν\in(0,1],\,α\in(0,2].$ The operator $D_t^\vartheta N^ν_λ(t) = \frac{\rm d}{\mathrm{d} t} I_t^{1-\vartheta} N_λ^ν(t) = \frac{\rm d}{\mathrm{d} t} \mathcal{N}_λ^{1-\vartheta,ν}(t)$ with $\mathcal{N}_λ^{1-\vartheta,ν}(t)$ the Riemann-Liouville non-homogeneous fractional integral process, $\partial^β_t$ is the Caputo fractional derivative, $-(-Δ)^{α/2}$ is the generator of an isotropic stable process, $I^β_t$ is the fractional integral operator, and $σ: \mathbb{R} \rightarrow \mathbb{R}$ is Lipschitz continuous. The above time fractional stochastic heat type equations may be used to model sequence of catastrophic events with thermal memory. The mean and variance for the process $\frac{\rm d}{\mathrm{d} t}\mathcal{N}^{1-\vartheta,ν}_λ(t)$ for some specific rate functions were computed. Consequently, the growth moment bounds for the class of heat equation perturbed with the non-homogeneous fractional time Poisson process were given and we show that the solution grows exponentially for some small time interval $t\in [t_0,T], \,\,T<\infty$ and $t_0>1$; that is, the result establishes that the energy of the solution grows atleast as $ c_4(t+t_0)^{(\vartheta-aν)}\exp(c_5 t)$ and at most as $c_1 t^{(\vartheta- aν)}\exp(c_3 t)$ for different conditions on the initial data, where $c_1,\,c_3,\,c_4$ and $c_5$ are some positive constants depending on $T$. Existence and uniqueness result for the mild solution to the equation was given under linear growth condition on $σ$.
In this article, we derive the state probabilities of different type of space- and time-fractional Poisson processes using z-transform. We work on tempered versions of time-fractional Poisson process and space-fractional Poisson processes. We also introduce Gegenbauer type fractional differential equations and their solutions using z-transform. Our results generalize and complement the result available on fractional Poisson processes in several directions.
The fractional non-homogeneous Poisson process was introduced by a time-change of the non-homogeneous Poisson process with the inverse $α$-stable subordinator. We propose a similar definition for the (non-homogeneous) fractional compound Poisson process. We give both finite-dimensional and functional limit theorems for the fractional non-homogeneous Poisson process and the fractional compound Poisson process. The results are derived by using martingale methods, regular variation properties and Anscombe's theorem. Eventually, some of the limit results are verified in a Monte Carlo simulation.
Dynamical scaling is an asymptotic property typical for the dynamics of first-order phase transitions in physical systems and related to self-similarity. Based on the integral-representation for the marginal probabilities of a fractional non-homogeneous Poisson process introduced by Leonenko et al. (2017) and generalising the standard fractional Poisson process, we prove the dynamical scaling under fairly mild conditions. Our result also includes the special case of the standard fractional Poisson process.
In this paper, we show that the mixed fractional Poisson process (MFPP) exhibits the long-range dependence (LRD) property. It is proved by establishing an asymptotic result for the covariance of inverse mixed stable subordinator. Also, it is shown that the increments of the MFPP, namely, the mixed fractional Poissonian noise (MFPN) has the short-range dependence (SRD) property.
We introduce two non-homogeneous processes: a fractional non-homogeneous Poisson process of order $k$ and and a fractional non-homogeneous Pólya-Aeppli process of order $k$. We characterize these processes by deriving their non-local governing equations. We further study the covariance structure of the processes and investigate the long-range dependence property.
The term "moderate deviations" is often used in the literature to mean a class of large deviation principles that, in some sense, fill the gap between a convergence in probability to zero (governed by a large deviation principle) and a weak convergence to a centered Normal distribution. We talk about "non-central moderate deviations" when the weak convergence is towards a non-Gaussian distribution. In this paper we study non-central moderate deviations for compound fractional Poisson processes with light-tailed jumps.
Recently the so-called Prabhakar generalization of the fractional Poisson counting process attracted much interest for his flexibility to adapt real world situations. In this renewal process the waiting times between events are IID continuous random variables. In the present paper we analyze discrete-time counterparts: Renewal processes with integer IID interarrival times which converge in well-scaled continuous-time limits to the Prabhakar-generalized fractional Poisson process. These processes exhibit non-Markovian features and long-time memory effects. We recover for special choices of para…
In this paper, we introduce and study a convoluted version of the time fractional Poisson process by taking the discrete convolution with respect to space variable in the system of fractional differential equations that governs its state probabilities. We call the introduced process as the convoluted fractional Poisson process (CFPP). The explicit expression for the Laplace transform of its state probabilities are obtained whose inversion yields its one-dimensional distribution. Some of its statistical properties such as probability generating function, moment generating function, moments etc.…
Stochastic differential equations driven by fractional Brownian motion and Poisson point process
本文研究了一类含加性噪声的随机微分方程,它包含一个分数阶布朗运动(fBM)和一个(QL)类Poisson点过程.这类微分方程是由一般保险模型中的准备金过程所激发的,其中索赔支付与过去的责任历史之间的长期相关性成为主要焦点。在分数次Wiener-Poisson空间上建立了一些新的分数阶微积分,由此定义了该问题的弱解,并证明了其存在唯一性.使用扩展形式的Krylov型估计的fBM和复合泊松的组合噪声,我们证明了强解的存在性,沿着Gyöngy和Pardoux(Probab. Theory Related Fields 94(1993)413-425)。我们的结果,特别是扩展了一个由Mishura和Nualart(统计。可能吧Lett. 70(2004)253-261)。
We present new properties for the Fractional Poisson process and the Fractional Poisson field on the plane. A martingale characterization for Fractional Poisson processes is given. We extend this result to Fractional Poisson fields, obtaining some other characterizations. The fractional differential equations are studied. We consider a more general Mixed-Fractional Poisson process and show that this process is the stochastic solution of a system of fractional differential-difference equations. Finally, we give some simulations of the Fractional Poisson field on the plane.
Correlated fractional counting processes on a finite time interval
给出了有限时间区间上的相关分数计数过程。这将通过考虑Borges等人(2012)中的过程的轻微概括来完成。主要的情形是关于一类时空分数泊松过程,当相关参数为零时,其单变量分布与Orsingher和Polito(2012)中的时空分数泊松过程的单变量分布一致.另一方面,当我们考虑时间分数泊松过程时,多元有限维分布与Politi et al.(2011)中为更新过程给出的分布不同。另一种情况是关于一类分数负二项过程。
In this article, we introduce fractional Poisson felds of order k in n-dimensional Euclidean space $R_n^+$. We also work on time-fractional Poisson process of order k, space-fractional Poisson process of order k and tempered version of time-space fractional Poisson process of order k in one dimensional Euclidean space $R_1^+$. These processes are defined in terms of fractional compound Poisson processes. Time-fractional Poisson process of order k naturally generalizes the Poisson process and Poisson process of order k to a heavy tailed waiting times counting process. The space-fractional Poiss…
This paper studies the joint moments of a compound discounted renewal process observed at different times with each arrival removed from the system after a random delay. This process can be used to describe the aggregate (discounted) Incurred But Not Reported claims in insurance and also the total number of customers in an infinite server queue. It is shown that the joint moments can be obtained recursively in terms of the renewal density, from which the covariance and correlation structures are derived. In particular, the fractional Poisson process defined via the renewal approach is also con…
In this paper, we consider the occupancy distribution for an open network of infinite server queues with multivariate batch arrivals following a non-homogeneous Poisson process, and general service time distributions. We derive a probability generating function for the transient occupancy distribution of the network, and prove that it is necessary and sufficient for ergodicity that the expected occupancy time for each batch be finite. Further, we recover recurrence relations for the transient probability mass function formulated in terms of a distribution obtained by compounding the batch size…
In this paper we consider the Porous Medium Equation and establish a relationship between its Kompanets-Zel'dovich-Barenblatt solution $u(\xd,t), \xd\in \mathbb R^d,t>0$ and random flights. The time-rescaled version of $u(\xd,t)$ is the fundamental solution of the Euler-Poisson-Darboux equation which governs the distribution of random flights performed by a particle whose displacements have a Dirichlet probability distribution and choosing directions uniformly on a $d$-dimensional sphere (see, e.g., \cite{dgo}). We consider the space-fractional version of the Euler-Poisson-Darboux equation and…
In this paper exponential stability of nonlinear fractional order stochastic system with Poisson jumps is studied in finite dimensional space. Existence and uniqueness of solution, stability and exponential stability results are established by using boundedness properties of Mittag-Leffler matrix function, fixed point route and local assumptions on nonlinear terms. A numerical example is given to illustrate the efficiency of the obtained results. Finally, conclusion is drawn.
In this paper, we study existence and uniqueness of strong as well as weak solutions for general time fractional Poisson equations. We show that there is an integral representation of the solutions of time fractional Poisson equations with zero initial values in terms of semigroup for the infinitesimal spatial generator ${\cal L}$ and the corresponding subordinator associated with the time fractional derivative. This integral representation has an integral kernel $q(t, x, y)$, which we call the fundamental solution for the time fractional Poisson equation, if the semigrou for ${\cal L}$ has an…