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

TL;DR

This paper explores the relationships between compositions of Poisson and fractional Poisson processes, revealing their representations as random sums or products, and analyzing continued fractions of Cauchy variables with Poisson-distributed levels.

Contribution

It introduces new representations of process compositions as random sums or products and extends results to infinitely divisible processes and continued fractions involving Cauchy variables.

Findings

Poisson process compositions can be expressed as random sums.

Fractional Poisson process compositions relate to inverse processes.

Continued fractions of Cauchy variables have explicit distributions.

Abstract

In this paper we consider the relation between random sums and compositions of different processes. In particular, for independent Poisson processes $N_\alpha(t)$, $N_\beta(t)$, $t>0$, we show that $N_\alpha(N_\beta(t)) \overset{\text{d}}{=} \sum_{j=1}^{N_\beta(t)} X_j$, where the $X_j$s are Poisson random variables. We present a series of similar cases, the most general of which is the one in which the outer process is Poisson and the inner one is a nonlinear fractional birth process. We highlight generalisations of these results where the external process is infinitely divisible. A section of the paper concerns compositions of the form $N_\alpha(\tau_k^\nu)$, $\nu \in (0,1]$, 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 $\Theta(N(t))$, $t>0$, 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.