Multifractional Poisson process, multistable subordinator and related limit theorems

Molchanov, Ilya; Ralchenko, Kostiantyn (2015). Multifractional Poisson process, multistable subordinator and related limit theorems. Statistics & probability letters, 96, pp. 95-101. Elsevier 10.1016/j.spl.2014.09.011

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We introduce a multistable subordinator, which generalizes the stable subordinator to the case of time-varying stability index. This enables us to define a multifractional Poisson process. We study properties of these processes and establish the convergence of a continuous-time random walk to the multifractional Poisson process.

Item Type:

Journal Article (Original Article)

Division/Institute:

08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science

UniBE Contributor:

Molchanov, Ilya and Ralchenko, Kostiantyn

Subjects:

300 Social sciences, sociology & anthropology > 360 Social problems & social services
500 Science > 510 Mathematics

ISSN:

0167-7152

Publisher:

Elsevier

Language:

English

Submitter:

Lutz Dümbgen

Date Deposited:

28 Oct 2015 14:17

Last Modified:

08 Aug 2016 09:41

Publisher DOI:

10.1016/j.spl.2014.09.011

ArXiv ID:

1407.2453

BORIS DOI:

10.7892/boris.72280

URI:

https://boris.unibe.ch/id/eprint/72280

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