Space-time duality for semi-fractional diffusions

DOI10.1007/978-3-030-59649-1_11MaRDI QIDQ2019741zbMATH OpenOpenAlexFDO

Authors Svenja Lage, Peter Kern

Publication date 22 April 2021

Full work available at URL https://arxiv.org/abs/1905.05459

zbMATH Keywords

subordinatorfractional diffusionZolotarev dualityhitting-timesemi-fractional derivativesemistable Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Fractional derivatives and integrals (26A33) Fractional partial differential equations (35R11) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Self-similar stochastic processes (60G18)

Abstract: Almost sixty years ago Zolotarev proved a duality result which relates an $alpha$-stable density for $alphain(1,2)$ to the density of a $frac1alpha$-stable distribution on the positive real line. In recent years Zolotarev duality was the key to show space-time duality for fractional diffusions stating that certain heat-type fractional equations with a fractional derivative of order $alpha$ in space are equivalent to corresponding time-fractional differential equations of order $frac1alpha$. We review on this space-time duality and take it as a recipe for a generalization from the stable to the semistable situation.

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Cited in

(5)

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