Time-inhomogeneous fractional Poisson processes defined by the multistable subordinator

Abstract

The space-fractional and the time-fractional Poisson processes are two well-known models of fractional evolution. They can be constructed as standard Poisson processes with the time variable replaced by a stable subordinator and its inverse, respectively. The aim of this paper is to study nonhomogeneous versions of such models, which can be defined by means of the so-called multistable subordinator (a jump process with nonstationary increments), denoted by . Firstly, we consider the Poisson process time-changed by H and we obtain its explicit distribution and governing equation. Then, by using the right-continuous inverse of H, we define an inhomogeneous analog of the time-fractional Poisson process.