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

anomalous diffusionfox functionsMellin convolutionstable subordinatorSturm-Liouville problem

Mathematics Subject Classification ID

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

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

Review text

This paper concerns the explicit representation of solutions to fractional and anomalous diffusions related to Sturm-Liouville problems of fractional order associated to fractional power function spaces. In particular, the representation of the inverse to a stable subordinator is derived by means of successive compositions of Bessel processes whereas, the representation of stable subordinators is obtained by composing reciprocal Bessel processes. By means of a time-change, the representation of fractional and anomalous diffusion is therefore obtained. Furthermore, results related to the corresponding regular and singular Sturm-Liouville problems have been presented and connections with their stochastic solutions investigated. The author brings the reader's attention to the connections with fractional powers of operators and studies the explicit representations of such operators by exploiting the Mellin transforms and the related convolutions. Indeed, a crucial ingredient is the Mellin convolution of generalized gamma functions in a suitable functions space.

Recommendations

• Stochastic solution of space-time fractional diffusion equations
• Applications of the fractional Sturm-Liouville problem to the space-time fractional diffusion in a finite domain
• Space-time fractional Dirichlet problems
• Fractional singular Sturm-Liouville problems on the half-line
• Representation of solutions for Sturm-Liouville eigenvalue problems with generalized fractional derivative

Cites work

• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• A fractional diffusion equation to describe Lévy flights
• An Occupation Time Theorem for A Class of Stochastic Processes
• Bessel diffusions as a one-parameter family of diffusion processes
• Bessel processes and hyperbolic Brownian motions stopped at different random times
• Brownian subordinators and fractional Cauchy problems
• Continuous-time random walks and the fractional diffusion equation
• Diffusion Equation and Stochastic Processes
• Diffusion-type models with given marginal distribution and autocorrelation function
• Exercises in Probability
• Explicit solutions to fractional differential equations via generalized gamma convolution
• Fox \(H\) functions in fractional diffusion
• Fractional Cauchy problems on bounded domains
• Fractional diffusion and wave equations
• Fractional diffusion equation on fractals: one-dimensional case and asymptotic behaviour
• Fractional diffusion equations and processes with randomly varying time
• Fractional kinetic equation for Hamiltonian chaos
• Fractional powers of closed operators
• Fractional powers of closed operators and the semigroups generated by them
• Fractional powers of operators
• Generalized hypergeometric functions with applications in statistics and physical sciences
• Higher order PDEs and symmetric stable processes
• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• scientific article; zbMATH DE number 3425963 (Why is no real title available?)
• scientific article; zbMATH DE number 3137792 (Why is no real title available?)
• scientific article; zbMATH DE number 3147053 (Why is no real title available?)
• scientific article; zbMATH DE number 4204938 (Why is no real title available?)
• scientific article; zbMATH DE number 4140223 (Why is no real title available?)
• scientific article; zbMATH DE number 3947305 (Why is no real title available?)
• scientific article; zbMATH DE number 48198 (Why is no real title available?)
• scientific article; zbMATH DE number 2015698 (Why is no real title available?)
• scientific article; zbMATH DE number 2015741 (Why is no real title available?)
• scientific article; zbMATH DE number 1532146 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 2208467 (Why is no real title available?)
• scientific article; zbMATH DE number 2208480 (Why is no real title available?)
• scientific article; zbMATH DE number 2217537 (Why is no real title available?)
• Iterated elastic Brownian motions and fractional diffusion equations
• Lamperti-type laws
• Limit theorems for continuous-time random walks with infinite mean waiting times
• On some properties of fractional powers of linear operators
• On the fractional counterpart of the higher-order equations
• On the fundamental solution of the Kolmogorov-Shiryaev equation
• Operational Calculus and Related Topics
• Some aspects of fractional diffusion equations of single and distributed order
• Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)
• The M-Wright function in time-fractional diffusion processes: a tutorial survey
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• The fractional diffusion equation
• The fundamental solution of the space-time fractional diffusion equation
• The G and H Functions as Symmetrical Fourier Kernels
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• The space-fractional telegraph equation and the related fractional telegraph process
• Triangular array limits for continuous time random walks

Cited in

(25)

• Fractional diffusion-type equations with exponential and logarithmic differential operators
• Exact and numerical solutions of the fractional Sturm-Liouville problem
• Alternative forms of compound fractional Poisson processes
• Probabilistic representation formula for the solution of fractional high-order heat-type equations
• Coordinates changed random fields on the sphere
• Continuous random walks and fractional powers of operators
• Self-similar Cauchy problems and generalized Mittag-Leffler functions
• Inverse problem for a multi-parameters space-time fractional diffusion equation with nonlocal boundary conditions: operational calculus approach
• Fractional boundary value problems
• Fractional equations via convergence of forms
• Homogeneous Robin boundary conditions and discrete spectrum of fractional eigenvalue problem
• Convolution-type derivatives, hitting-times of subordinators and time-changed \(C_0\)-semigroups
• Applications of the fractional Sturm-Liouville problem to the space-time fractional diffusion in a finite domain
• Existence of solutions for Riemann-Liouville fractional differential equations with nonlocal Erdélyi-Kober integral boundary conditions on the half-line
• Fractional Sturm-Liouville problem
• Time dependent random fields on spherical non-homogeneous surfaces
• Variational methods for the fractional Sturm-Liouville problem
• Fractional diffusion-telegraph equations and their associated stochastic solutions
• Asymptotics for time-changed diffusions
• On finite fractional Sturm-Liouville transforms
• Applications of the fractional Sturm-Liouville difference problem to the fractional diffusion difference equation
• Optimal control of a fractional diffusion Sturm-Liouville problem on a star graph
• Fractional boundary value problems and elastic sticky Brownian motions
• Finite fractional Sturm-Liouville transforms for generalized fractional derivatives
• Fractional Sturm-Liouville boundary value problems in unbounded domains: theory and applications

This page was built for publication: From Sturm-Liouville problems to fractional and anomalous diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q449235)