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A class of CTRWs: Compound fractional Poisson processes

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 Lévy 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 Lévy. However, several analytical results are available and some of them are discussed here. The functional limit of the compound Poisson process is an $α$-stable Lévy process, whereas in the case of the compound fractional Poisson process, one gets an $α$-stable Lévy process subordinated to the fractional Poisson process.