On the probabilistic approach to the solution of generalized fractional differential equations of Caputo and Riemann-Liouville type

zbMATH Open1488.34038arXiv1509.04139MaRDI QIDQ3384973FDOQ3384973

Authors: Ma. Elena Hernández-Hernández, Vassili Kolokoltsov 

Publication date: 17 December 2021

Abstract: This paper provides a probabilistic approach to solve linear equations involving Caputo and Riemann-Liouville type derivatives. Using the probabilistic interpretation of these operators as the generators of interrupted Feller processes, we obtain well-posedness results and explicit solutions (in terms of the transition densities of the underlying stochastic processes). The problems studied here include fractional linear differential equations, well analyzed in the literature, as well as their far reaching extensions.

Full work available at URL: https://arxiv.org/abs/1509.04139

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zbMATH Keywords

stopping timeCaputo derivativeFeller processMittag-Leffler functionsRiemann-Liouville derivativegeneralized fractional operators\(\beta\)-stable subordinator

Mathematics Subject Classification ID

Fractional ordinary differential equations (34A08) Linear ordinary differential equations and systems (34A30) Applications of stochastic analysis (to PDEs, etc.) (60H30) Mittag-Leffler functions and generalizations (33E12)

Cited In (11)

• Generalised fractional evolution equations of Caputo type
• The probabilistic point of view on the generalized fractional partial differential equations
• Censored stable subordinators and fractional derivatives
• On fully mixed and multidimensional extensions of the Caputo and Riemann-Liouville derivatives, related Markov processes and fractional differential equations
• Probabilistic solutions to nonlinear fractional differential equations of generalized Caputo and Riemann-Liouville type
• On the Caputo fractional random boundary value problem
• Probabilistic approximation of a Riemann-Liouville type operator with a stability index greater than two
• On the solution of two-sided fractional ordinary differential equations of Caputo type
• On the Kolmogorov forward equations within Caputo and Riemann-Liouville fractions derivatives
• Stochastic representation of solution to nonlocal-in-time diffusion
• Analysis of fractional Cauchy problems with some probabilistic applications

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