Fractional diffusion equations and processes with randomly varying time

DOI10.1214/08-AOP401zbMath1173.60027arXiv1102.4729OpenAlexW2020055704MaRDI QIDQ1011156

Publication date: 8 April 2009

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.4729

zbMATH Keywords

fractional derivative stable distribution Airy functions iterated Brownian motion time-fractional equation Gauss-Laplace random variable Mc-Kean law

Mathematics Subject Classification ID

Brownian motion (60J65) Fractional derivatives and integrals (26A33) Diffusion processes (60J60) Mittag-Leffler functions and generalizations (33E12) Stable stochastic processes (60G52) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

Related Items

Small ball probabilities for a class of time-changed self-similar processes, Fractional Relaxation Equations and Brownian Crossing Probabilities of a Random Boundary, Asymptotic behavior and quasi-limiting distributions on time-fractional birth and death processes, Fractional diffusion-type equations with exponential and logarithmic differential operators, Processes iterated ad libitum, Time-inhomogeneous jump processes and variable order operators, Variations of the solution to a fourth order time-fractional stochastic partial integro-differential equation, Fractional diffusions with time-varying coefficients, Semilinear Caputo time-fractional pseudo-parabolic equations, The last zero-crossing of an iterated brownian motion with drift, Time-Changed Processes Governed by Space-Time Fractional Telegraph Equations, Fractional equations via convergence of forms, Fractional Diffusion--Telegraph Equations and Their Associated Stochastic Solutions, Fractional non-linear, linear and sublinear death processes, Continuity of the solution to a stochastic time-fractional diffusion equations in the spatial domain with locally Lipschitz sources, Time dependent random fields on spherical non-homogeneous surfaces, Nonlocal in-time telegraph equation and telegraph processes with random time, Random-time processes governed by differential equations of fractional distributed order, Analysis of fractional Cauchy problems with some probabilistic applications, New results for stochastic fractional pseudo-parabolic equations with delays driven by fractional Brownian motion, Elastic drifted Brownian motions and non-local boundary conditions, Fractional pure birth processes, On a fractional linear birth-death process, Large deviations for fractional Poisson processes, Fractional-parabolic systems, Cauchy problems for fractional differential equations with Riemann-Liouville fractional derivatives, Commutative and associative properties of the Caputo fractional derivative and its generalizing convolution operator, From Sturm-Liouville problems to fractional and anomalous diffusions, On the fractional counterpart of the higher-order equations, Vibrations and fractional vibrations of rods, plates and Fresnel pseudo-processes, Strang-type preconditioners for solving fractional diffusion equations by boundary value methods, Long-memory Gaussian processes governed by generalized Fokker-Planck equations, Time-fractional and memoryful \(\Delta^{2^{k}}\) SIEs on \(\mathbb{R}_{+}\times\mathbb{R}^{d}\): how far can we push white noise?, Space-time fractional stochastic partial differential equations, L-Kuramoto-Sivashinsky SPDEs in one-to-three dimensions: L-KS kernel, sharp Hölder regularity, and Swift-Hohenberg law equivalence, Generalized fractional nonlinear birth processes, Quasi-Linear (Stochastic) Partial Differential Equations with Time-Fractional Derivatives, Non-linear noise excitation for some space-time fractional stochastic equations in bounded domains, Investigation of sample paths properties for some classes of \(\varphi \)-sub-Gaussian stochastic processes, INTERACTING TIME-FRACTIONAL AND Δ^ν PDES SYSTEMS VIA BROWNIAN-TIME AND INVERSE-STABLE-LÉVY-TIME BROWNIAN SHEETS, Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications --, Intermittency fronts for space-time fractional stochastic partial differential equations in \((d + 1)\) dimensions, Space-time fractional equations and the related stable processes at random time, Fractional Discrete Processes: Compound and Mixed Poisson Representations, Probabilistic representation formula for the solution of fractional high-order heat-type equations, Composition of processes and related partial differential equations, STOCHASTIC SOLUTIONS OF A CLASS OF HIGHER ORDER CAUCHY PROBLEMS IN ℝ^d, Delayed and rushed motions through time change, Well-posedness results for a class of semilinear time-fractional diffusion equations, Correlated fractional counting processes on a finite-time interval, Equations of Mathematical Physics and Compositions of Brownian and Cauchy Processes, Convolution-type derivatives, hitting-times of subordinators and time-changed \(C_0\)-semigroups, Mittag-Leffler analysis. II: Application to the fractional heat equation., Weak error for continuous time Markov chains related to fractional in time P(I)DEs, Fractional Cauchy problems on compact manifolds, Stochastic velocity motions and processes with random time, Strong dissipativity of generalized time-fractional derivatives and quasi-linear (stochastic) partial differential equations, Fractional Cauchy problem on random snowflakes, Well-posedness results and blow-up for a semi-linear time fractional diffusion equation with variable coefficients, Alternative probabilistic representations of Barenblatt-type solutions, Space–Time Duality for Fractional Diffusion, Iterated Brownian motion ad libitum is not the pseudo-arc, On the infinite divisibility of distributions of some inverse subordinators, From Brownian-Time Brownian Sheet to a Fourth Order and a Kuramoto–Sivashinsky-Variant Interacting PDEs Systems, Chernoff approximation for semigroups generated by killed Feller processes and Feynman formulae for time-fractional Fokker-Planck-Kolmogorov equations, Maximum principles for time-fractional Cauchy problems with spatially non-local components, Higher-order Laplace equations and hyper-Cauchy distributions, Existence results for a generalization of the time-fractional diffusion equation with variable coefficients, Fractional boundary value problems, Lévy mixing related to distributed order calculus, subordinators and slow diffusions, Intermittence and space-time fractional stochastic partial differential equations

Cites Work