Spectral decomposition of fractional operators and a reflected stable semigroup

DOI10.1016/J.JDE.2016.10.026MaRDI QIDQ729923zbMATHOpenAlexFDO

Authors Pierre Patie, Yixuan Zhao

Publication date 22 December 2016

Published in Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1606.04034

zbMATH Keywords

fractional operatorsspectral theoryMarkov semigroupscontinuous framesnon-self-adjoint integro-differential operatorsreflected stable processes

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Fractional partial differential equations (35R11) General harmonic expansions, frames (42C15) Integro-differential operators (47G20) Spectral theory; eigenvalue problems on manifolds (58C40) Stable stochastic processes (60G52)

Abstract: In this paper, we provide the spectral decomposition in Hilbert space of the $mathcal{C}_0$-semigroup $P$ and its adjoint $hatP$ having as generator, respectively, the Caputo and the right-sided Riemann-Liouville fractional derivatives of index $1<alpha<2$. These linear operators, which are non-local and non-self-adjoint, appear in many recent studies in applied mathematics and also arise as the infinitesimal generators of some substantial processes such as the reflected spectrally negative $alpha$-stable process. Our approach relies on intertwining relations that we establish between these semigroups and the semigroup of a Bessel type process whose generator is a self-adjoint second order differential operator. In particular, from this commutation relation, we characterize the positive real axis as the continuous point spectrum of $P$ and provide a power series representation of the corresponding eigenfunctions. We also identify the positive real axis as the residual spectrum of the adjoint operator $hatP$ and elucidates its role in the spectral decomposition of these operators. By resorting to the concept of continuous frames, we proceed by investigating the domain of the spectral operators and derive two representations for the heat kernels of these semigroups. As a by-product, we also obtain regularity properties for these latter and also for the solution of the associated Cauchy problem.

Recommendations

• Reflected spectrally negative stable processes and their governing equations
• Symmetric differential operators of fractional order and their extensions
• Reflected symmetric \(\alpha\)-stable processes and regional fractional Laplacian
• Spectral problems for fractional differential equations from nonlocal continuum mechanics
• On analytic semigroup generators involving Caputo fractional derivative

Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3425963 (Why is no real title available?)
• scientific article; zbMATH DE number 3968684 (Why is no real title available?)
• scientific article; zbMATH DE number 3482665 (Why is no real title available?)
• scientific article; zbMATH DE number 3482903 (Why is no real title available?)
• scientific article; zbMATH DE number 1163909 (Why is no real title available?)
• scientific article; zbMATH DE number 855058 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 3209538 (Why is no real title available?)
• scientific article; zbMATH DE number 3384808 (Why is no real title available?)
• scientific article; zbMATH DE number 2217537 (Why is no real title available?)
• AN EXAMPLE IN THE THEORY OF THE SPECTRUM OF A FUNCTION
• An extension of Pitman's theorem for spectrally positive Lévy processes
• An introduction to infinite-dimensional analysis
• Asymptotics and Mellin-Barnes integrals
• Bernstein functions. Theory and applications
• Cauchy problem of the non-self-adjoint Gauss-Laguerre semigroups and uniform bounds for generalized Laguerre polynomials
• Classical Expansions and Their Relation to Conjugate Harmonic Functions
• Elementary Solutions for Certain Parabolic Partial Differential Equations
• Exponentially small expansions in the asymptotics of the Wright function
• Frames and semi-frames
• Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes
• Infinitesimal generators of time changed processes
• Intertwining certain fractional derivatives
• Introductory lectures on fluctuations of Lévy processes with applications.
• Jensen polynomials and the Turán and Laguerre inequalities
• Markov Processes, Brownian Motion, and Time Symmetry
• Markov processes and their functional in duality
• Mesures Associees Aux Fonctionnelles Additives de Markov. I
• Non-selfadjoint operators and pseudospectra
• On \(L^{p}\)-contractivity of Laguerre semigroups
• On construction of Markov processes
• On entire moments of self-similar Markov processes
• Predicting the ultimate supremum of a stable Lévy process with no negative jumps
• Recurrent extensions of self-similar Markov processes and Cramér's condition
• Reflected spectrally negative stable processes and their governing equations
• Semi-stable Markov processes. I
• Some results on non-self-adjoint operators, a survey
• Stochastic models for fractional calculus
• Variational formulation for the stationary fractional advection dispersion equation

Cited in

(14)

• Weak similarity orbit of (log)‐self‐similar Markov semigroups on the Euclidean space
• Boundary conditions for nonlocal one-sided pseudo-differential operators and the associated stochastic processes
• Self-similar Cauchy problems and generalized Mittag-Leffler functions
• Analysis of non-reversible Markov chains via similarity orbits
• Frankl spectral problem for an operator of mixed type with arbitrary power-law degeneration
• Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups
• Risk‐neutral pricing techniques and examples
• Fractional partial differential equations with boundary conditions
• Smoothness of continuous state branching with immigration semigroups
• Option pricing in a one-dimensional affine term structure model via spectral representations
• Reflected spectrally negative stable processes and their governing equations
• Fluctuation theory for Lévy processes with completely monotone jumps
• Bernstein-gamma functions and exponential functionals of Lévy processes
• On interweaving relations

This page was built for publication: Spectral decomposition of fractional operators and a reflected stable semigroup

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q729923)