Compositions, Random Sums and Continued Random Fractions of Poisson and Fractional Poisson Processes

摘要

In this paper we consider the relation between random sums and compositions of different processes. In particular, for independent Poisson processes N α (t), N β (t), t0, we have that $N_{alpha}(N_{beta}(t)) stackrel{mathrm{d}}{=} sum_{j=1}^{N_{beta}(t)} X_{j}$ , where the X j s are Poisson random variables. We present a series of similar cases, where the outer process is Poisson with different inner processes. We highlight generalisations of these results where the external process is infinitely divisible. A section of the paper concerns compositions of the form $N_{alpha}(tau_{k}^{nu})$ , ν∈(0,1], where $tau_{k}^{nu}$ is the inverse of the fractional Poisson process, and we show how these compositions can be represented as random sums. Furthermore we study compositions of the form Θ(N(t)), t0, which can be represented as random products. The last section is devoted to studying continued fractions of Cauchy random variables with a Poisson number of levels. We evaluate the exact distribution and derive the scale parameter in terms of ratios of Fibonacci numbers.