Fractional Poisson process with random drift

Original · EN

We study the connection between PDEs and Lévy processes running with clocks given by time-changed Poisson processes with stochastic drifts. The random times we deal with are therefore given by time-changed Poissonian jumps related to some Frobenious-Perron operators K associated to random translations. Moreover, we also consider their hitting times as a random clock. Thus, we study processes driven by equations involving time-fractional operators (modelling memory) and fractional powers of the difference operator I-K (modelling jumps). For this large class of processes we also provide, in some cases, the explicit representation of the transition probability laws. To this aim, we show that a special role is played by the translation operator associated to the representation of the Poisson semigroup.