On the governing equations for Poisson and Skellam processes time-changed by inverse subordinators

Buchak, K.; Sakhno, L.

doi:10.1090/tpms/1064

On the governing equations for Poisson and Skellam processes time-changed by inverse subordinators

Authors: K. V. Buchak and L. M. Sakhno
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, tom 98 (2018).
Journal: Theor. Probability and Math. Statist. 98 (2019), 91-104
MSC (2010): Primary 60G50, 60G51, 60G55
DOI: https://doi.org/10.1090/tpms/1064
Published electronically: August 19, 2019
MathSciNet review: 3824680
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Abstract: In the paper we present the governing equations for marginal distributions of Poisson and Skellam processes time-changed by inverse subordinators. The equations are given in terms of convolution-type derivatives.

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