Fractional Poisson Fields

Nikolai Leonenko () and Ely Merzbach ()
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Nikolai Leonenko: Cardiff University
Ely Merzbach: Bar-Ilan University

Methodology and Computing in Applied Probability, 2015, vol. 17, issue 1, 155-168

Abstract: Abstract Using inverse subordinators and Mittag-Leffler functions, we present a new definition of a fractional Poisson process parametrized by points of the Euclidean space $\mathbb{R}_+^2$ . Some properties are given and, in particular, we prove a long-range dependence property.

Keywords: Poisson fields; Long-range dependence; Subordinator; Inverse subordinator; 60G22; 60G60; 60G55 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s11009-013-9354-7

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