Non-homogeneous space-time fractional Poisson processes. Issue 2 (4th March 2019)

• Record Type: Journal Article
• Authors: Maheshwari, A.; Vellaisamy, P.
• Is Part Of: Stochastic analysis and applications. Volume 37:Issue 2(2019)
• Page Start: 137
• Page End: 154
• Publication Date: 2019-03-04
• Subjects: Lévy subordinator -- fractional Poisson process -- non-homogeneous Poisson process; 60G22 -- 60G55; Stochastic analysis -- Periodicals; 519.2205
• DOI: 10.1080/07362994.2018.1541749
• Languages: English
• ISSNs: 0736-2994

Abstract

Abstract: The space-time fractional Poisson process (STFPP), defined by Orsingher and Poilto (2012), is a generalization of the time fractional Poisson process (TFPP) and the space fractional Poisson process (SFPP). We study the fractional generalization of the non-homogeneous Poisson process and call it the non-homogeneous space-time fractional Poisson process (NHSTFPP). We compute their pmf and generating function and investigate the associated differential equation. The limit theorems for the NHSTFPP process are studied. We study the distributional properties, the asymptotic expansion of the correlation function of the non-homogeneous time fractional Poisson process (NHTFPP) and subsequently investigate the long-range dependence (LRD) property of a special NHTFPP. We investigate the limit theorem for the fractional non-homogeneous Poisson process (FNHPP) studied by Leonenko et al. (2014). Finally, we present some simulated sample paths of the NHSTFPP process.