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Fractional Poisson processes and their representation by infinite systems of ordinary differential equations

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  • Kreer, Markus
  • Kızılersü, Ayşe
  • Thomas, Anthony W.

Abstract

Fractional Poisson processes, a rapidly growing area of non-Markovian stochastic processes, are useful in statistics to describe data from counting processes when waiting times are not exponentially distributed. We show that the fractional Kolmogorov–Feller equations for the probabilities at time t can be represented by an infinite linear system of ordinary differential equations of first order in a transformed time variable. These new equations resemble a linear version of the discrete coagulation–fragmentation equations, well-known from the non-equilibrium theory of gelation, cluster-dynamics and phase transitions in physics and chemistry.

Suggested Citation

  • Kreer, Markus & Kızılersü, Ayşe & Thomas, Anthony W., 2014. "Fractional Poisson processes and their representation by infinite systems of ordinary differential equations," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 27-32.
    • Handle: RePEc:eee:stapro:v:84:y:2014:i:c:p:27-32
    DOI: 10.1016/j.spl.2013.09.028
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    References listed on IDEAS

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    1. Orsingher, Enzo & Polito, Federico, 2013. "On the integral of fractional Poisson processes," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1006-1017.
    2. Beghin, Luisa & Macci, Claudio, 2013. "Large deviations for fractional Poisson processes," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1193-1202.
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    Cited by:

    1. Kreer, Markus, 2022. "An elementary proof for dynamical scaling for certain fractional non-homogeneous Poisson processes," Statistics & Probability Letters, Elsevier, vol. 182(C).

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