Paper detail

Time-Changed Poisson Processes

We consider time-changed Poisson processes, and derive the governing difference-differential equations (DDE) these processes. In particular, we consider the time-changed Poisson processes where the the time-change is inverse Gaussian, or its hitting time process, and discuss the governing DDE&#39;s. The stable subordinator, inverse stable subordinator and their iterated versions are also considered as time-changes. DDE&#39;s corresponding to probability mass functions of these time-changed processes are obtained. Finally, we obtain a new governing partial differential equation for the tempered stable subordinator of index $0<β<1,$ when $β$ is a rational number. We then use this result to obtain the governing DDE for the mass function of Poisson process time-changed by tempered stable subordinator. Our results extend and complement the results in Baeumer et al. \cite{B-M-N} and Beghin et al. \cite{BO-1} in several directions.