Fractional Poisson process (II)

Xiao-Tian Wang, Zhi-Xiong Wen and Shi-Ying Zhang

Chaos, Solitons & Fractals, 2006, vol. 28, issue 1, 143-147

Abstract: In this paper, we propose a stochastic process WH(t)(H∈(12,1)) which we call fractional Poisson process. The process WH(t) is self-similar in wide sense, displays long range dependence, and has more fatter tail than Gaussian process. In addition, it converges to fractional Brownian motion in distribution.

Date: 2006
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:28:y:2006:i:1:p:143-147

DOI: 10.1016/j.chaos.2005.05.019

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