English

Fractional Poisson process with random drift

Probability 2014-01-15 v1

Abstract

We study the connection between PDEs and L\'{e}vy processes running with clocks given by time-changed Poisson processes with stochastic drifts. The random times we deal with are therefore given by time-changed Poissonian jumps related to some Frobenious-Perron operators KK associated to random translations. Moreover, we also consider their hitting times as a random clock. Thus, we study processes driven by equations involving time-fractional operators (modelling memory) and fractional powers of the difference operator IKI-K (modelling jumps). For this large class of processes we also provide, in some cases, the explicit representation of the transition probability laws. To this aim, we show that a special role is played by the translation operator associated to the representation of the Poisson semigroup.

Keywords

Cite

@article{arxiv.1401.3170,
  title  = {Fractional Poisson process with random drift},
  author = {Luisa Beghin and Mirko D'Ovidio},
  journal= {arXiv preprint arXiv:1401.3170},
  year   = {2014}
}
R2 v1 2026-06-22T02:44:57.770Z