Probabilistic representation formula for the solution of fractional high-order heat-type equations
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Publication:2000975
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 .
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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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