Response of a diffusion‐wave system subjected to deterministic and stochastic fields

Mittag-Leffler function numerical analysis partial and ordinary differential equations of fractional order Riemann-Liouville and Caputo fractional derivatives stochastic analysis

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Wave equation (35L05) PDEs with randomness, stochastic partial differential equations (35R60) Boundary value problems for PDEs with pseudodifferential operators (35S15) Generation, random and stochastic difference and differential equations (37H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

Review text

The paper deals with the partial differential equation \[ {\frac{1}{c}}{\frac{\partial^{\alpha}U}{\partial t^{\alpha}}}= {\frac{\partial^{2}U}{\partial x^{2}}}+{\frac{1}{K}}f(x,t)\;\;(x\in [0,L],\;t>0),\tag{1} \] \(c\) and \(K\) being constants, of fractional order \(\alpha >0\) involving the Riemann-Liouville partial fractional derivative of order \(\alpha\): \[ {\frac{\partial^{\alpha}U}{\partial t^{\alpha}}} ={\frac{1}{\Gamma (k-\alpha)}} {\frac{\partial^k}{\partial t^k}}\int^{t}_{0} {\frac{f(x,u)}{(t-u)^{\alpha -k+1}}}du \] or the so-called Caputo partial fractional derivative of order \(\alpha\): \[ {\frac{\partial^{\alpha}U}{\partial t^{\alpha}}} ={\frac{1}{\Gamma (k-\alpha)}} \int^{t}_{0}{\frac{1}{(t-u)^{\alpha -k+1}}} {\frac{\partial^k}{\partial u^k}}f(x,u)du, \] where \(k\) is a positive integer such that \(k-1<\alpha <k\). Using the method of separation of variables, the formal solution of the equation (1) with the boundary conditions \[ U(0,t)=U(L,t)=0\;(t>0);\;\;U(x,0)=0\;(x\in [0, L]); \] \[ {\frac{\partial U(x,0)}{\partial t}}=0\;(x\in [0,L],\;1<\alpha \leq 2)\tag{2} \] is obtained in the form \[ U(x,t)=\sum^{\infty}_{n=1}\sin (a_nx)\theta_{n}(t),\;\;a_n={\frac{\pi n}{L}}. \] Here \(\theta_n(t)\) are exact solutions of certain ordinary differential equations of fractional order \(\alpha\) with the Riemann-Liouville or Caputo fractional derivatives. These solutions are expressed in terms of the so-called fractional Green function and involve the Mittag-Leffler function \(E_{\alpha,\alpha}(z)\): \[ E_{\alpha,\alpha}(z)=\sum^{\infty}_{k=0}{\frac{z^{k}}{\Gamma (\alpha k+\alpha)}}. \] In this connection see the books by \textit{K.S. Miller} and \textit{B. Ross} [An introduction to the fractional calculus and fractional differential equations (1993; Zbl 0789.26002)] and \textit{I. Podlubny} [Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications (1999; Zbl 0924.34008)]. An application of the problem (1)-(2) with \(f(x,t)=f_2(x)f_1(t)\) to stochastic analysis is discussed, and special cases when \(f_1(t)\) is a constant and \(f_2(x)\) is equal to \(1\), the Dirac delta-functon \(\delta (x-L/2)\) or \(\sin (\pi x/L)\) are considered. Two numerical results for the last case are presented. Remark. The exact solutions of ordinary fractional differential equations with Riemann-Liouville and Caputo fractional derivatives and constant coefficients, which the author has obtained by using the Laplace transform, are well know. For example, see a survey of the results and bibliography in Section 5 of the paper by the reviewer and \textit{J.J. Trujillo} [Appl. Anal. 78, No. 1--2, 153--192 (2001)].

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