Fractional Poisson process with random drift
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 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 (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}
}