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Counting processes with Bernštein intertimes and random jumps

  • Enzo Orsingher (a1) and Bruno Toaldo (a1)

Abstract

In this paper we consider point processes Nf (t), t > 0, with independent increments and integer-valued jumps whose distribution is expressed in terms of Bernštein functions f with Lévy measure v. We obtain the general expression of the probability generating functions Gf of Nf , the equations governing the state probabilities pk f of Nf , and their corresponding explicit forms. We also give the distribution of the first-passage times Tk f of Nf , 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 of jumps with height lj () under the condition N(t) = k for all these special processes is investigated in detail.

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Corresponding author

Postal address: Dipartimento di Statistica, Sapienza Università di Roma, Piazzale Aldo Moro 5, 00185 Roma, Italy.
∗∗ Email address: enzo.orsingher@uniromal.it

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Journal of Applied Probability
  • ISSN: 0021-9002
  • EISSN: 1475-6072
  • URL: /core/journals/journal-of-applied-probability
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