Theory of Probability and Mathematical Statistics
On the governing equations for Poisson and Skellam processes time-changed by inverse subordinators
K. V. Buchak, L. M. Sakhno
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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.
Keywords: Poisson process, Skellam process, time-change, inverse subordinator, governing equation, convolution-type derivatives.
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