کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1152329 | 958280 | 2011 | 12 صفحه PDF | دانلود رایگان |
We consider time-changed Poisson processes, and derive the governing difference–differential equations (DDEs) for these processes. In particular, we consider the time-changed Poisson processes where the time-change is inverse Gaussian, or its hitting time process, and discuss the governing DDEs. The stable subordinator, inverse stable subordinator and their iterated versions are also considered as time-changes. DDEs corresponding to probability mass functions of these time-changed processes are obtained. Finally, we obtain a new governing partial differential equation for the tempered stable subordinator of index 0<β<10<β<1, when ββ is a rational number. We then use this result to obtain the governing DDE for the mass function of the Poisson process time-changed by the tempered stable subordinator. Our results extend and complement the results in Baeumer et al. (2009) and Beghin and Orsingher (2009) in several directions.
Journal: Statistics & Probability Letters - Volume 81, Issue 12, December 2011, Pages 1899–1910