Time-Changed Processes Governed by Space-Time Fractional Telegraph Equations

DOI10.1080/07362994.2014.962046MaRDI QIDQ2937464zbMATH OpenOpenAlexFDO

Authors Mirko D'Ovidio, Bruno Toaldo, Enzo Orsingher

Publication date 9 January 2015

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.2511

zbMATH Keywords

Airy functionsfractional LaplacianMittag-Leffler functionsRiemann-Liouville fractional calculussubordinatorstelegraph processtelegraph-type space-time fractional equationtime-changed processes

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Fractional ordinary differential equations (34A08) Functional-differential equations with fractional derivatives (34K37) Solutions to PDEs in closed form (35C05) Fractional partial differential equations (35R11) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Abstract: In this work we construct compositions of processes of the form �m{S}_n^{2�eta}(c^2 mathpzc{L}^

u (t) , t>0, u in (0, 1/2], �eta in (0,1], n in mathbb{N}, whose distribution is related to space-time fractional n-dimensional telegraph equations. We present within a unifying framework the pde connections of n-dimensional isotropic stable processes �m{S}_n^{2�eta} whose random time is represented by the inverse mathpzc{L}^ u (t), t>0, of the superposition of independent positively-skewed stable processes, mathpzc{H}^ u (t) = H_1^{2 u} (t) + (2lambda ^{frac{1}{ u}} H_2^ u (t), t>0, (H_1^{2 u}, H_2^ u, independent stable subordinators). As special cases for n=1,

u = 1/2 and �eta = 1 we examine the telegraph process T at Brownian time B (Orsingher and Beghin) and establish the equality in distribution B (c^2 mathpzc{L}^{1/2} (t)) stackrel{ extrm{law}}{=} T (|B(t)|), t>0. Furthermore the iterated Brownian motion (Allouba and Zheng) and the two-dimensional motion at finite velocity with a random time are investigated. For all these processes we present their counterparts as Brownian motion at delayed stable-distributed time.

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Cited in

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