Stochastic representation of solution to nonlocal-in-time diffusion

DOI10.1016/J.SPA.2019.06.011MaRDI QIDQ1986013zbMATH OpenOpenAlexWikidataFDO

Authors Qiang Du, Lorenzo Toniazzi, Zhi Zhou

Publication date 7 April 2020

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

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

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)

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.

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Cited in

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• Fokker-Planck equation for Feynman-Kac transform of anomalous processes
• Discretization and analysis of an optimal control of a variable-order time-fractional diffusion equation with pointwise constraints
• Censored stable subordinators and fractional derivatives
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• From semi-Markov random evolutions to scattering transport and superdiffusion
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• On backward problems for stochastic fractional reaction equations with standard and fractional Brownian motion

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