From Sturm-Liouville problems to fractional and anomalous diffusions

DOI10.1016/J.SPA.2012.06.002MaRDI QIDQ449235zbMATH OpenOpenAlexFDO

Authors Mirko D'Ovidio

Publication date 12 September 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1011.1424

zbMATH Keywords

Sturm-Liouville problemanomalous diffusionstable subordinatorfox functionsMellin convolution

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional derivatives and integrals (26A33)

Abstract: Some fractional and anomalous diffusions are driven by equations involving fractional derivatives in both time and space. Such diffusions are processes with randomly varying times. In representing the solutions to those diffusions, the explicit laws of certain stable processes turn out to be fundamental. This paper directs one's efforts towards the explicit representation of solutions to fractional and anomalous diffusions related to Sturm-Liouville problems of fractional order associated to fractional power function spaces. Furthermore, we study a new version of the Bochner's subordination rule and we establish some connections between subordination and space-fractional operator

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Cited in

(24)

• Alternative forms of compound fractional Poisson processes
• Probabilistic representation formula for the solution of fractional high-order heat-type equations
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• Asymptotics for time-changed diffusions
• Fractional Sturm-Liouville problem
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• Fractional boundary value problems
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