Probabilistic representation formula for the solution of fractional high-order heat-type equations

DOI10.1007/S00028-019-00485-WzbMATH Open1419.35201arXiv1611.03364OpenAlexW2963243045MaRDI QIDQ2000975FDOQ2000975

Authors: S. Bonaccorsi, Mirko D'Ovidio, Sonia Mazzucchi 

Publication date: 1 July 2019

Published in: Journal of Evolution Equations (Search for Journal in Brave)

Abstract: We propose a probabilistic construction for the solution of a general class of fractional high order heat-type equations in the one-dimensional case, by using a sequence of random walks in the complex plane with a suitable scaling. A time change governed by a class of subordinated processes allows to handle the fractional part of the derivative in space. We first consider evolution equations with space fractional derivatives of any order, and later we show the extension to equations with time fractional derivative (in the sense of Caputo derivative) of order $alphain(0,1)$.

Full work available at URL: https://arxiv.org/abs/1611.03364

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zbMATH Keywords

stochastic processespartial differential equationsprobabilistic representation of solutions of PDEs

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Integral representations of solutions to PDEs (35C15) Fractional partial differential equations (35R11) Generalized stochastic processes (60G20)

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Cited In (7)

• A probabilistic representation of solution to the Cauchy problem for evolution equation with differential operator of order greater than 2
• A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
• Space-time duality for semi-fractional diffusions
• Fractional equations via convergence of forms
• Probabilistic representation of fundamental solutions to \(\frac{\partial u}{\partial t} = \kappa _m \frac{\partial^m u}{\partial x^m}\)
• Probabilistic representations for the solution of higher order differential equations
• Time fractional equations and probabilistic representation

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