Probabilistic representation of fundamental solutions to u t = _m ^m u x^m

DOI10.1214/ECP.V17-1885MaRDI QIDQ456261zbMATH OpenFDO

Authors Enzo Orsingher, Mirko D'Ovidio

Publication date 23 October 2012

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.3133

zbMATH Keywords

fractional diffusion equationsCauchy distributionAiry functionsstable lawspseudo-process

Mathematics Subject Classification ID

Solutions to PDEs in closed form (35C05) Initial value problems for higher-order parabolic equations (35K30) Stable stochastic processes (60G52) Fundamental solutions to PDEs (35A08)

Abstract: For the fundamental solutions of heat-type equations of order $n$ we give a general stochastic representation in terms of damped oscillations with generalized gamma distributed parameters. By composing the pseudo-process $X_n$ related to the higher-order heat-type equation with positively skewed stable r.v.'s $T_{1/3}^j$, $j=1,2,\mathrm{...},n$ we obtain genuine r.v.'s whose explicit distribution is given for $n=3$ in terms of Cauchy asymmetric laws. We also prove that $X_3(T_{1/3}^1(\mathrm{...}(T_{(1/3)}^n(t))\mathrm{...}))$ has a stable asymmetric law.

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