On the fractional probabilistic Taylor's and mean value theorems

DOI10.1515/FCA-2016-0050MaRDI QIDQ309301zbMATH OpenOpenAlexFDO

Authors Antonio Di Crescenzo, Alessandra Meoli

Publication date 7 September 2016

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

Full work available at URL https://arxiv.org/abs/1611.01686

zbMATH Keywords

mean value theoremfractional calculuscharacterization of exponential distributionfractional equilibrium distributiongeneralized Taylor formulasurvival bounded order

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Distribution theory (60E99) Differentiation (real functions of one variable): general theory, generalized derivatives, mean value theorems (26A24)

Abstract: In order to develop certain fractional probabilistic analogues of Taylor's theorem and mean value theorem, we introduce the nth-order fractional equilibrium distribution in terms of the Weyl fractional integral and investigate its main properties. Specifically, we show a characterization result by which the nth-order fractional equilibrium distribution is identical to the starting distribution if and only if it is exponential. The nth-order fractional equilibrium density is then used to prove a fractional probabilistic Taylor's theorem based on derivatives of Riemann-Liouville type. A fractional analogue of the probabilistic mean value theorem is thus developed for pairs of nonnegative random variables ordered according to the survival bounded stochastic order. We also provide some related results, both involving the normalized moments and a fractional extension of the variance, and a formula of interest to actuarial science. In conclusion we discuss the probabilistic Taylor's theorem based on fractional Caputo derivatives.

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Cited in

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• A quantile-based probabilistic mean value theorem
• Probabilistic mean value theorems for conditioned random variables with applications

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