Stochastic representation of solution to nonlocal-in-time diffusion

DOI10.1016/J.SPA.2019.06.011zbMATH Open1441.60060arXiv1810.08788OpenAlexW2964285914WikidataQ127625583 ScholiaQ127625583MaRDI QIDQ1986013FDOQ1986013

Authors: Qiang Du, Lorenzo Toniazzi, Zhi Zhou 

Publication date: 7 April 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: The aim of this paper is to give a stochastic representation for the solution to a natural extension of the Caputo-type evolution equation. The nonlocal-in-time operator is defined by a hypersingular integral with a (possibly time-dependent) kernel function, and it results in a model which serves a bridge between normal diffusion and anomalous diffusion. We derive the stochastic representation for the weak solution of the nonlocal-in-time problem in case of nonsmooth data. We do so by starting from an auxiliary Caputo-type evolution equation with a specific forcing term. Numerical simulations are also provided to support our theoretical results.

Full work available at URL: https://arxiv.org/abs/1810.08788

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zbMATH Keywords

Feynman-Kac formulahistorical initial conditionnonlocal evolution

Mathematics Subject Classification ID

Diffusion processes (60J60) Stable stochastic processes (60G52) Applications of stochastic analysis (to PDEs, etc.) (60H30) Local time and additive functionals (60J55)

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Cited In (14)

• Fokker-Planck equation for Feynman-Kac transform of anomalous processes
• Censored stable subordinators and fractional derivatives
• From semi-Markov random evolutions to scattering transport and superdiffusion
• Transient solution to the diffusion equation for nonlinear stochastically perturbed systems
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• On backward problems for stochastic fractional reaction equations with standard and fractional Brownian motion
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• Branching Random Walk Solutions to the Wigner Equation
• Stochastic classical solutions for space-time fractional evolution equations on a bounded domain
• Numerical methods for nonlocal and fractional models

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