4 papers
An alternative formulation of the discrete-time fractional Poisson process
Naohiro Yoshida
This paper introduces a discrete-time fractional Poisson process defined as a renewal process, where the waiting times follow a discrete Mittag-Leffler distribution. We investigate…
Analysis of an Inhomogeneous Random Walk with Spatial Decay of Transition Probabilities and Parameter Renewal per Excursion
Naohiro Yoshida
In this paper, we propose and analyze a novel one-dimensional inhomogeneous random walk model that combines spatial decay of transition probabilities with a temporal renewal struct…
Poisson Hyperbolic Staircase in Discrete Time
Naohiro Yoshida
In this paper, we propose a novel stochastic process that serves as a natural discrete-time counterpart to the continuous-time model known as the ``Poisson hyperbolic staircase'' p…
Dynamics of Periodic Bubbles and Crashes: Modeling Market Overheating and Panic Selling via Cubic Momentum
Naohiro Yoshida
This paper proposes a simple and parsimonious discrete-time simulation model to describe the endogenous formation and periodic collapse of financial bubbles. While existing literat…