Stochastic solutions for time-fractional heat equations with complex spatial variables

DOI10.1007/S13540-021-00011-1zbMATH Open1503.35249arXiv2112.09486OpenAlexW4213168444WikidataQ114017061 ScholiaQ114017061MaRDI QIDQ2110185FDOQ2110185

L. Beghin, Alessandro De Gregorio

Publication date: 21 December 2022

Published in: Fractional Calculus \ Applied Analysis (Search for Journal in Brave)

Abstract: We deal with complex spatial diffusion equations with time-fractional derivative and study their stochastic solutions. In particular, we complexify the integral operator solution to the heat-type equation where the time derivative is replaced with the convolution-type generalization of the regularized Caputo derivative. We prove that this operator is solution of a complex time-fractional heat equation with complex spatial variable. This approach leads to a wrapped Brownian motion on a circle time-changed by the inverse of the related subordinator. This time-changed Brownian motion is analyzed and, in particular, some results on its moments, as well as its construction as weak limit of continuous-time random walks, are obtained. The extension of our approach to the higher dimensional case is also provided.

Full work available at URL: https://arxiv.org/abs/2112.09486

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zbMATH Keywords

time-changed processesgeneralized Caputo derivativecomplex evolution equationscomplex singular integralswrapped Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Fractional derivatives and integrals (26A33) Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (5)

• Chaotic characterization of one dimensional stochastic fractional heat equation
• Spatiotemporal random fields associated with stochastic fractional Helmholtz and heat equations
• Path dynamics of time-changed Lévy processes: a martingale approach
• The Cauchy problem for time-fractional linear nonlocal diffusion equations
• Fractional random fields associated with stochastic fractional heat equations

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