Fractional Poisson Fields

被引：10

作者：

Leonenko, Nikolai ^{[1
]}

Merzbach, Ely ^{[2
]}

机构：

[1] Cardiff Univ, Sch Math, Cardiff CF24 4AG, S Glam, Wales

[2] Bar Ilan Univ, Dept Math, IL-52900 Ramat Gan, Israel

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2015年 / 17卷 / 01期

关键词：

Poisson fields; Long-range dependence; Subordinator; Inverse subordinator; DIFFERENTIAL-EQUATIONS; PEARSON DIFFUSIONS; TIMES;

D O I：

10.1007/s11009-013-9354-7

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Using inverse subordinators and Mittag-Leffler functions, we present a new definition of a fractional Poisson process parametrized by points of the Euclidean space R-i(2). Some properties are given and, in particular, we prove a long-range dependence property.

引用

页码：155 / 168

页数：14

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