Multifractional Poisson process, multistable subordinator and related limit theorems

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.

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Year of publication:	2015
Authors:	Molchanov, Ilya ; Ralchenko, Kostiantyn
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 96.2015, C, p. 95-101
Publisher:	Elsevier
Subject:	Multistable process \| Multifractional process \| Stable subordinator \| Fractional Poisson process \| Continuous-time random walk

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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