General fractional calculus, evolution equations, and renewal processes

DOI10.1007/S00020-011-1918-8MaRDI QIDQ429735zbMATH OpenOpenAlexFDO

Authors Anatoly N. Kochubei

Publication date 20 June 2012

Published in Integral Equations and Operator Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.1239

zbMATH Keywords

renewal processfractional calculuscomplete Bernstein functiondifferential-convolution operatorrelaxation equation

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Fractional ordinary differential equations (34A08) Renewal theory (60K05)

Abstract: We develop a kind of fractional calculus and theory of relaxation and diffusion equations associated with operators in the time variable, of the form $(Du)(t)=fracddtintlimit{s}_0^{t}k(t-au)u(au),dau-k(t)u(0)$ where $k$ is a nonnegative locally integrable function. Our results are based on the theory of complete Bernstein functions. The solution of the Cauchy problem for the relaxation equation $Du=-lambdau$, $lambda>0$, proved to be (under some conditions upon $k$) continuous on $[(0,infty)$ and completely monotone, appears in the description by Meerschaert, Nane, and Vellaisamy of the process $N(E(t))$ as a renewal process. Here $N(t)$ is the Poisson process of intensity $lambda$, $E(t)$ is an inverse subordinator.

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• Stochastic applications of Caputo-type convolution operators with nonsingular kernels
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• Tempered relaxation equation and related generalized stable processes
• Substantiation of a quadrature-difference method for solving integro-differential equations with derivatives of variable order
• Path dynamics of time-changed Lévy processes: a martingale approach
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