We obtain the distribution of the sum of independent and non-identically distributed generalized Mittag–Leffler random variables. We then apply this result to study some related fractional point processes. We present their explicit probability mass functions as well as their connections with the fractional integral/differential equations. In the case of a point process with Mittag–Leffler distributed waiting times which alternate two indexes (Formula presented.) and two rates (Formula presented.) we also study the conditional arrival times and we show an application to the telegraph process.

On the sum of independent generalized Mittag–Leffler random variables and the related fractional processes / Cinque, F.. - In: STOCHASTIC ANALYSIS AND APPLICATIONS. - ISSN 0736-2994. - 40:1(2022), pp. 103-117. [10.1080/07362994.2021.1890120]

On the sum of independent generalized Mittag–Leffler random variables and the related fractional processes

Cinque F.
Primo
2022

Abstract

We obtain the distribution of the sum of independent and non-identically distributed generalized Mittag–Leffler random variables. We then apply this result to study some related fractional point processes. We present their explicit probability mass functions as well as their connections with the fractional integral/differential equations. In the case of a point process with Mittag–Leffler distributed waiting times which alternate two indexes (Formula presented.) and two rates (Formula presented.) we also study the conditional arrival times and we show an application to the telegraph process.
2022
60G50; 60G55; alternating process; caputo derivative; Generalized Mittag–Leffler distribution; multivariate Mittag–Leffler function; Primary 60G22; state-dependent process
01 Pubblicazione su rivista::01a Articolo in rivista
On the sum of independent generalized Mittag–Leffler random variables and the related fractional processes / Cinque, F.. - In: STOCHASTIC ANALYSIS AND APPLICATIONS. - ISSN 0736-2994. - 40:1(2022), pp. 103-117. [10.1080/07362994.2021.1890120]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1617585
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