873 citations · 3.1k across the 59 of their papers we have counts for
60 papers
A fractional approach to study the pure-temporal Epidemic Type Aftershock Sequence (ETAS) process for earthquakes modeling
Lorenzo Cristofaro, Roberto Garra, Enrico Scalas +1
In statistical seismology, the Epidemic Type Aftershocks Sequence (ETAS) model is a branching process used world-wide to forecast earthquake intensity rates and reproduce many stat…
A fractional Hawkes process II: Further characterization of the process
Cassien Habyarimana, Jane A. Aduda, Enrico Scalas +3
We characterize a Hawkes point process with kernel proportional to the probability density function of Mittag-Leffler random variables. This kernel decays as a power law with expon…
Queuing models with Mittag-Leffler inter-event times
Jacob Butt, Nicos Georgiou, Enrico Scalas
We study three non-equivalent queueing models in continuous time that each generalise the classical M/M/1 queue in a different way. Inter-event times in all models are Mittag-Leffl…
Bounds for mixing times for finite semi-Markov processes with heavy-tail jump distribution
Nicos Georgiou, Enrico Scalas
Consider a Markov chain with finite state space and suppose you wish to change time replacing the integer step index with a random counting process . What happens to the…
Limit theorems for prices of options written on semi-Markov processes
Enrico Scalas, Bruno Toaldo
We consider plain vanilla European options written on an underlying asset that follows a continuous time semi-Markov multiplicative process. We derive a formula and a renewal type…
A fractional generalization of the Dirichlet distribution and related distributions
Elvira Di Nardo, Federico Polito, Enrico Scalas
This paper is devoted to a fractional generalization of the Dirichlet distribution. The form of the multivariate distribution is derived assuming that the partitions of the int…