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arxiv: 1401.3170 · v1 · pith:F44X6XZXnew · submitted 2014-01-14 · 🧮 math.PR

Fractional Poisson process with random drift

classification 🧮 math.PR
keywords processesrandompoissonassociatedfractionalgivenjumpsmodelling
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We study the connection between PDEs and L\'{e}vy processes running with clocks given by time-changed Poisson processes with stochastic drifts. The random times we deal with are therefore given by time-changed Poissonian jumps related to some Frobenious-Perron operators $K$ associated to random translations. Moreover, we also consider their hitting times as a random clock. Thus, we study processes driven by equations involving time-fractional operators (modelling memory) and fractional powers of the difference operator $I-K$ (modelling jumps). For this large class of processes we also provide, in some cases, the explicit representation of the transition probability laws. To this aim, we show that a special role is played by the translation operator associated to the representation of the Poisson semigroup.

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