Raffaela Capitanelli, Mirko D'Ovidio
We consider time-changed Brownian motions on random Koch (pre-fractal and fractal) domains where the time change is given by the inverse to a subordinator. In particular, we study the fractional Cauchy problem with Robin condition on the pre-fractal boundary obtaining asymptotic results for the corresponding fractional diffusions with Robin, Neumann and Dirichlet boundary conditions on the fractal domain.
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In a fractional Cauchy problem, the usual first order time derivative is replaced by a fractional derivative. The fractional derivative models time delays in a diffusion process. The order of the fractional derivative can be distributed over the unit interval, to model a mixture of delay sources. In this paper, we provide explicit strong solutions and stochastic analogues for distributed-order fractional Cauchy problems on bounded domains with Dirichlet boundary conditions. Stochastic solutions are constructed using a non-Markovian time change of a killed Markov process generated by a uniforml…
Fractional Cauchy problems replace the usual first-order time derivative by a fractional derivative. This paper develops classical solutions and stochastic analogues for fractional Cauchy problems in a bounded domain $D\subset\mathbb{R}^d$ with Dirichlet boundary conditions. Stochastic solutions are constructed via an inverse stable subordinator whose scaling index corresponds to the order of the fractional time derivative. Dirichlet problems corresponding to iterated Brownian motion in a bounded domain are then solved by establishing a correspondence with the case of a half-derivative in time…
A Brownian time process is a Markov process subordinated to the absolute value of an independent one-dimensional Brownian motion. Its transition densities solve an initial value problem involving the square of the generator of the original Markov process. An apparently unrelated class of processes, emerging as the scaling limits of continuous time random walks, involve subordination to the inverse or hitting time process of a classical stable subordinator. The resulting densities solve fractional Cauchy problems, an extension that involves fractional derivatives in time. In this paper, we will…
We show a strong maximum principle and an Alexandrov-Bakelman-Pucci estimate for the weak solutions of a Cauchy problem featuring Caputo time-derivatives and non-local operators in space variables given in terms of Bernstein functions of the Laplacian. To achieve this, first we propose a suitable meaning of a weak solution, show their existence and uniqueness, and establish a probabilistic representation in terms of time-changed Brownian motion. As an application, we also discuss an inverse source problem.
In this paper we give stochastic solutions of conformable fractional Cauchy problems. The stochastic solutions are obtained by running the processes corresponding to Cauchy problems with a nonlinear deterministic clock.
We consider the Cauchy problem for a stochastic scalar parabolic-hyperbolic equation in any space dimension with nonlocal, nonlinear, and possibly degenerate diffusion terms. The equations are nonlocal because they involve fractional diffusion operators. We adapt the notion of stochastic entropy solution and provide a new technical framework to prove the uniqueness. The existence proof relies on the vanishing viscosity method. Moreover, using bounded variation (BV) estimates for vanishing viscosity approximations, we derive an explicit continuous dependence estimate on the nonlinearities and d…
In this article, we explore some of the main mathematical problems connected to multidimensional fractional conservation laws driven by Lévy processes. Making use of an adapted entropy formulation, a result of existence and uniqueness of a solution is established. Moreover, using bounded variation (BV) estimates for vanishing viscosity approximations, we derive an explicit continuous dependence estimate on the nonlinearities of the entropy solutions under the assumption that Lévy noise depends only on the solution. This result is used to show the error estimate for the stochastic vanishing vis…
In a fractional Cauchy problem, the usual first order time derivative is replaced by a fractional derivative. This problem was first considered by \citet{nigmatullin}, and \citet{zaslavsky} in $\mathbb R^d$ for modeling some physical phenomena. The fractional derivative models time delays in a diffusion process. We will give a survey of the recent results on the fractional Cauchy problem and its generalizations on bounded domains $D\subset \rd$ obtained in \citet{m-n-v-aop, mnv-2}. We also study the solutions of fractional Cauchy problem where the first time derivative is replaced with an infi…
Fractional derivatives can be used to model time delays in a diffusion process. When the order of the fractional derivative is distributed over the unit interval, it is useful for modeling a mixture of delay sources. In some special cases distributed order derivative can be used to model ultra-slow diffusion. We extend the results of (Baeumer, B. and Meerschaert, M. M. Stochastic solutions for fractional Cauchy problems. Fract. Calc. Appl. Anal. 4 (2001), 481--500.) in the single order fractional derivative case to distributed order fractional derivative case. In particular, we develop the str…
We focus on eventually non-linear abstract Cauchy problems with a generalized fractional derivative in time. First we prove a local existence and uniqueness result, then we focus on a generalized Grönwall inequality. Before addressing the inequality, we study some properties of eigenvalues and eigenfunctions of the generalized fractional derivatives. Finally, we prove some consequences of the generalized Grönwall inequality.
We survey the results in Nane (E. Nane, Higher order PDE's and iterated processes, Trans. American Math. Soc. (to appear)) and Baeumer, Meerschaert, and Nane (B. Baeumer, M.M. Meerschaert and E. Nane, Brownian subordinators and fractional Cauchy problems: Submitted (2007)) which deal with PDE connection of some iterated processes, and obtain a new probabilistic proof of the equivalence of the higher order PDE's and fractional in time PDE's.
Analysis of fractional Cauchy problems with some probabilistic applications
本文给出了 Dzherbashyan-Caputo 分数阶 Cauchy 问题的显式解，利用特征多项式根和 Mittag-Leffler 函数表达，建立了不同阶数解间的概率关系，并应用于求解平面随机运动相关的分数阶微分方程。
We consider different types of processes obtained by composing Brownian motion $B(t)$, fractional Brownian motion $B_{H}(t)$ and Cauchy processes $% C(t)$ in different manners. We study also multidimensional iterated processes in $\mathbb{R}^{d},$ like, for example, $\left( B_{1}(|C(t)|),...,B_{d}(|C(t)|)\right) $ and $\left( C_{1}(|C(t)|),...,C_{d}(|C(t)|)\right) ,$ deriving the corresponding partial differential equations satisfied by their joint distribution. We show that many important partial differential equations, like wave equation, equation of vibration of rods, higher-order heat equa…
This paper is a direct offspring of Ref. [J. Math. Phys. 54, 072103, (2013)] where basic tenets of the nonlocally induced random and quantum dynamics were analyzed. A number of mentions was maid with respect to various inconsistencies and faulty statements omnipresent in the literature devoted to so-called fractional quantum mechanics spectral problems. Presently, we give a decisive computer-assisted proof, for an exemplary finite and ultimately infinite Cauchy well problem, that spectral solutions proposed so far were plainly wrong. As a constructive input, we provide an explicit spectral sol…
We study for the first time the Cauchy problem for semilinear fractional elliptic equation. This paper is concerned with the Gaussian white noise model for the initial Cauchy data. We establish the ill-posedness of the problem. Then, under some assumption on the exact solution, we propose the Fourier truncation method for stabilizing the ill-posed problem. Some convergence rates between the exact solution and the regularized solution is established in $L^2$ and $H^q$ norms.
In this paper we consider space-time fractional telegraph equations, where the time derivatives are intended in the sense of Hilfer and Hadamard while the space fractional derivatives are meant in the sense of Riesz-Feller. We provide the Fourier transforms of the solutions of some Cauchy problems for these fractional equations. Probabilistic interpretations of some specific cases are also provided.
Higher-order fractional equations and related time-changed pseudo-processes
本文通过“随机组合”两个简单问题的解，研究了空间与时间变量的分数阶微分方程Cauchy问题，并引入伪从属算子及其伪逆，将解解释为时间变更伪过程的伪转移密度，扩展至高阶与一般微分算子情形。
Chernoff approximation for semigroups generated by killed Feller processes and Feynman formulae for time-fractional Fokker-Planck-Kolmogorov equations
本文研究了由离开给定领域时被杀死的Feller过程生成的半群，这些半群对应于一类演化方程的Cauchy-Dirichlet型初始-外部值问题。通过Chernoff定理对这些半群进行近似，并将构造的Chernoff近似转化为Feynman公式，即n重积分的极限。此外，提出了一种近似时间分数阶（包括分布阶时间分数阶）演化方程解的方法，该方法基于时间分数阶与时间非分数阶演化方程之间的联系以及Chernoff近似。进一步，该方法导致时间分数阶演化方程解的Feynman公式。通过考虑一类分布阶时间分数阶扩散方程，获得了对应的Cauchy和Cauchy-Dirichlet问题的Feynman公式。
We construct admissible circulant Laplacian matrix functions as generators for strictly increasing random walks on the integer line. These Laplacian matrix functions refer to a certain class of Bernstein functions. The approach has connections with biased walks on digraphs. Within this framework, we introduce a space-time generalization of the Poisson process as a strictly increasing walk with discrete Mittag-Leffler jumps subordinated to a (continuous-time) fractional Poisson process. We call this process `{\it space-time Mittag-Leffler process}'. We derive explicit formulae for the state pro…
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