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. Some properties are given and, in particular, we prove a long-range dependence property.
Original language | English |
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Pages (from-to) | 155-168 |
Number of pages | 14 |
Journal | Methodology and Computing in Applied Probability |
Volume | 17 |
Issue number | 1 |
DOIs | |
State | Published - Mar 2013 |
Bibliographical note
Publisher Copyright:© 2013, Springer Science+Business Media New York.
Funding
Nikolai Leonenko and Ely Merzbach were partially supported by a grant of the Commission of the European Communities PIRSES-GA-2008-230804 (Marie Curie) “Multi-parameter Multi-fractional Brownian Motion”.
Funders | Funder number |
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European Commission | PIRSES-GA-2008-230804 |
Keywords
- Inverse subordinator
- Long-range dependence
- Poisson fields
- Subordinator