Nonhomogeneous fractional Poisson processes

Xiao-Tian Wang, Shi-Ying Zhang and Shen Fan

Chaos, Solitons & Fractals, 2007, vol. 31, issue 1, 236-241

Abstract: In this paper, we propose a class of non-Gaussian stationary increment processes, named nonhomogeneous fractional Poisson processes WH(j)(t), which permit the study of the effects of long-range dependance in a large number of fields including quantum physics and finance. The processes WH(j)(t) are self-similar in a wide sense, exhibit more fatter tail than Gaussian processes, and converge to the Gaussian processes in distribution in some cases. In addition, we also show that the intensity function λ(t) strongly influences the existence of the highest finite moment of WH(j)(t) and the behaviour of the tail probability of WH(j)(t).

Date: 2007
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:31:y:2007:i:1:p:236-241

DOI: 10.1016/j.chaos.2005.09.063

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