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A class of CTRWs: Compound fractional Poisson processes

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  • Enrico Scalas

Abstract

This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. The chapter begins with the characterization of a well-known L\'evy process: The compound Poisson process. The semi-Markov extension of the compound Poisson process naturally leads to the compound fractional Poisson process, where the Poisson counting process is replaced by the Mittag-Leffler counting process also known as fractional Poisson process. This process is no longer Markovian and L\'evy. However, several analytical results are available and some of them are discussed here. The functional limit of the compound Poisson process is an $\alpha$-stable L\'evy process, whereas in the case of the compound fractional Poisson process, one gets an $\alpha$-stable L\'evy process subordinated to the fractional Poisson process.

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  • Enrico Scalas, 2011. "A class of CTRWs: Compound fractional Poisson processes," Papers 1103.0647, arXiv.org.
  • Handle: RePEc:arx:papers:1103.0647
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    File URL: http://arxiv.org/pdf/1103.0647
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    Cited by:

    1. Enrico Scalas & Mauro Politi, 2012. "A parsimonious model for intraday European option pricing," Papers 1202.4332, arXiv.org.
    2. Gerardo-Giorda, Luca & Germano, Guido & Scalas, Enrico, 2015. "Large scale simulation of synthetic markets," LSE Research Online Documents on Economics 67563, London School of Economics and Political Science, LSE Library.

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