Counting processes with Bern\v{s}tein intertimes and random jumps

Abstract

We consider here point processes $N^f(t)$, $t>0$, with independent increments and integer-valued jumps whose distribution is expressed in terms of Bern\v{s}tein functions $f$ with L\'evy measure $\nu$. We obtain the general expression of the probability generating functions $G^f$ of $N^f$, the equations governing the state probabilities $p_k^f$ of $N^f$, and their corresponding explicit forms. We also give the distribution of the first-passage times $T_k^f$ of $N^f$, and the related governing equation. We study in detail the cases of the fractional Poisson process, the relativistic Poisson process and the Gamma Poisson process whose state probabilities have the form of a negative binomial. The distribution of the times $\tau_j^{l_j}$ of jumps with height $l_j$ ($\sum_{j=1}^rl_j = k$) under the condition $N(t) = k$ for all these special processes is investigated in detail.