English

Counting processes with Bern\v{s}tein intertimes and random jumps

Probability 2014-10-31 v2

Abstract

We consider here point processes Nf(t)N^f(t), t>0t>0, with independent increments and integer-valued jumps whose distribution is expressed in terms of Bern\v{s}tein functions ff with L\'evy measure ν\nu. We obtain the general expression of the probability generating functions GfG^f of NfN^f, the equations governing the state probabilities pkfp_k^f of NfN^f, and their corresponding explicit forms. We also give the distribution of the first-passage times TkfT_k^f of NfN^f, and the related governing equation. We study in detail the cases of the fractional Poisson process, the relativistic Poisson process and the Gamma Poisson process whose state probabilities have the form of a negative binomial. The distribution of the times τjlj\tau_j^{l_j} of jumps with height ljl_j (j=1rlj=k\sum_{j=1}^rl_j = k) under the condition N(t)=kN(t) = k for all these special processes is investigated in detail.

Keywords

Cite

@article{arxiv.1312.1498,
  title  = {Counting processes with Bern\v{s}tein intertimes and random jumps},
  author = {Enzo Orsingher and Bruno Toaldo},
  journal= {arXiv preprint arXiv:1312.1498},
  year   = {2014}
}
R2 v1 2026-06-22T02:21:29.532Z