Multifractional Poisson process, multistable subordinator and related limit theorems

Ilya Molchanov and Kostiantyn Ralchenko

Statistics & Probability Letters, 2015, vol. 96, issue C, 95-101

Abstract: We introduce a multistable subordinator, which generalizes the stable subordinator to the case of time-varying stability index. This enables us to define a multifractional Poisson process. We study properties of these processes and establish the convergence of a continuous-time random walk to the multifractional Poisson process.

Keywords: Multistable process; Multifractional process; Stable subordinator; Fractional Poisson process; Continuous-time random walk (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2014.09.011

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