Home | Contents | Submissions, editors, etc. | Login | Search | EJP
 Electronic Communications in Probability > Vol. 15(2010) > Paper 42 open journal systems 


Explicit solutions to fractional differential equations via generalized gamma convolution

Mirko D'Ovidio, Sapienza University of Rome


Abstract
In this paper we deal with Mellin convolution of generalized Gamma densities which leads to integrals of modified Bessel functions of the second kind. Such convolutions allow us to explicitly write the solutions of the time-fractional diffusion equations involving the adjoint operators of a square Bessel process and a Bessel process


Full text: PDF

Pages: 457-474

Published on: October 4, 2010


Bibliography
1.
Baeumer, Boris; Meerschaert, Mark M. Stochastic solutions for fractional Cauchy problems. Fract. Calc. Appl. Anal. 4 (2001), no. 4, 481--500. MR1874479 (2003d:26006)
2.
Baeumer, Boris; Meerschaert, Mark M.; Nane, Erkan. Space-time duality for fractional diffusion. J. Appl. Probab. 46 (2009), no. 4, 1100--1115. MR2582709 (Review)
3.
Beghin, Luisa; Orsingher, Enzo. The telegraph process stopped at stable-distributed times and its connection with the fractional telegraph equation. Fract. Calc. Appl. Anal. 6 (2003), no. 2, 187--204. MR2035414 (2004m:60087)
4.
Bertoin, Jean. Lévy processes. Cambridge Tracts in Mathematics, 121. Cambridge University Press, Cambridge, 1996. x+265 pp. ISBN: 0-521-56243-0 MR1406564 (98e:60117)
5.
Bondesson, Lennart; Kristiansen, Gundorph K.; Steutel, Fred W. Infinite divisibility of random variables and their integer parts. Statist. Probab. Lett. 28 (1996), no. 3, 271--278. MR1407001 (97f:60037)
6.
DeBlassie, R. Dante. Higher order PDEs and symmetric stable processes. Probab. Theory Related Fields 129 (2004), no. 4, 495--536. MR2078980 (2005d:60079)
7.
D'Ovidio, Mikro; Orsingher, Enzo Composition of processes and related partial differential equations. J. Theor. Probab. (published on line) (2010)
8.
D'Ovidio, Mirko; Orsingher, Enzo Bessel processes and hyperbolic Brownian motions stopped at different random times.Under revision for Stochastic Processes and their Applications (arXiv:1003.6085v1) (2010)
9.
Feller, William An introduction to probability theory and its applications. volume 2. 2nd edition, (1971)
10.
Fox, Charles. The $G$ and $H$ functions as symmetrical Fourier kernels. Trans. Amer. Math. Soc. 98 1961 395--429. MR0131578 (24 #A1427)
11.
Gorenflo, Rudolf; Mainardi, Francesco Fractional calculus: integral and differential equations of frational order in A. Carpinteri and F. Mainardi (Editors). Fractals and Fractional Calculus in Continuum Mechanics. Wien and New York, Springher Verlag, 223 - 276, (1997)
12.
Gradshteyn, I. S.; Ryzhik, I. M. 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). Seventh edition. Elsevier/Academic Press, Amsterdam, 2007. xlviii+1171 pp. ISBN: 978-0-12-373637-6; 0-12-373637-4 MR2360010 (2008g:00005)
13.
Kilbas, Anatoly A.; Srivastava, Hari M.; Trujillo, Juan J. Theory and applications of fractional differential equations (North-Holland Mathematics Studies), volume 204. Elsevier, Amsterdam, (2006)
14.
Kochubeĭ, A. N. The Cauchy problem for evolution equations of fractional order. (Russian) Differentsialʹnye Uravneniya 25 (1989), no. 8, 1359--1368, 1468; translation in Differential Equations 25 (1989), no. 8, 967--974 (1990) MR1014153 (90g:34063)
15.
Kochubeĭ, A. N. Diffusion of fractional order. (Russian) Differentsialʹnye Uravneniya 26 (1990), no. 4, 660--670, 733--734; translation in Differential Equations 26 (1990), no. 4, 485--492 MR1061448 (91j:35133)
16.
Kotz, Samuel; Balakrishnan, N.; Johnson, Norman L. Continuous multivariate distributions. Vol. 1. Models and applications. Second edition. Wiley Series in Probability and Statistics: Applied Probability and Statistics. Wiley-Interscience, New York, 2000. xxii+722 pp. ISBN: 0-471-18387-3 MR1788152 (2001h:62001)
17.
Mainardi, Francesco; Luchko, Yuri; Pagnini, Gianni. The fundamental solution of the space-time fractional diffusion equation. Fract. Calc. Appl. Anal. 4 (2001), no. 2, 153--192. MR1829592 (2002h:26010)
18.
Mainardi, Francesco; Pagnini, Gianni; Gorenflo, Rudolf. Mellin transform and subordination laws in fractional diffusion processes. Fract. Calc. Appl. Anal. 6 (2003), no. 4, 441--459. MR2044309 (2005a:60058)
19.
Mainardi, Francesco; Pagnini, Gianni; Gorenflo, Rudolf. Some aspects of fractional diffusion equations of single and distributed order. Appl. Math. Comput. 187 (2007), no. 1, 295--305. MR2323582
20.
Mathai, Arakaparampil M.; Saxena, Ram K. Generalized Hypergeometric functions with applications in statistics and physical sciences.Lecture Notes in Mathematics, n. 348, (1973)
21.
Meerschaert, Mark M.; Scheffler, Hans-Peter. Triangular array limits for continuous time random walks. Stochastic Process. Appl. 118 (2008), no. 9, 1606--1633. MR2442372 (2010b:60135)
22.
Meerschaert, Mark M.; Nane, Erkan; Vellaisamy, P. Fractional Cauchy problems on bounded domains. Ann. Probab. 37 (2009), no. 3, 979--1007. MR2537547 (2010h:60121)
23.
Nane, Erkan. Higher order PDE's and iterated processes. Trans. Amer. Math. Soc. 360 (2008), no. 5, 2681--2692. MR2373329 (2008j:60202)
24.
Nane, Erkan Fractional cauchy problems on bounded domains: survey of recent results. arXiv:1004.1577v1, (2010)
25.
Nigmatullin, The realization of the generalized transfer in a medium with fractal geometry.Phys. Status Solidi B 133, 425 -- 430, (1986)
26.
Orsingher, Enzo; Beghin, Luisa. Time-fractional telegraph equations and telegraph processes with Brownian time. Probab. Theory Related Fields 128 (2004), no. 1, 141--160. MR2027298 (2005a:60056)
27.
Orsingher, Enzo; Beghin, Luisa. Fractional diffusion equations and processes with randomly varying time. Ann. Probab. 37 (2009), no. 1, 206--249. MR2489164 (2010b:60116)
28.
Samko, Stefan G.; Kilbas, Anatoly A.; Marichev, Oleg I. Fractional integrals and derivatives. Theory and applications. Edited and with a foreword by S. M. Nikolʹskiĭ. Translated from the 1987 Russian original. Revised by the authors. Gordon and Breach Science Publishers, Yverdon, 1993. xxxvi+976 pp. ISBN: 2-88124-864-0 MR1347689 (96d:26012)
29.
Schneider, W. R.; Wyss, W. Fractional diffusion and wave equations. J. Math. Phys. 30 (1989), no. 1, 134--144. MR0974464 (89m:45017)
30.
Wyss, Walter. The fractional diffusion equation. J. Math. Phys. 27 (1986), no. 11, 2782--2785. MR0861345 (87m:44008)
31.
Zaslavsky, G. M. Fractional kinetic equation for Hamiltonian chaos. Chaotic advection, tracer dynamics and turbulent dispersion (Gavi, 1993). Phys. D 76 (1994), no. 1-3, 110--122. MR1295881 (95h:58120)
32.
Zolotarev, V. M. One-dimensional stable distributions. Translated from the Russian by H. H. McFaden. Translation edited by Ben Silver. Translations of Mathematical Monographs, 65. American Mathematical Society, Providence, RI, 1986. x+284 pp. ISBN: 0-8218-4519-5 MR0854867 (87k:60002)
















Research
Support Tool
Capture Cite
View Metadata
Printer Friendly
Context
Author Address
Action
Email Author
Email Others


Home | Contents | Submissions, editors, etc. | Login | Search | EJP

Electronic Communications in Probability. ISSN: 1083-589X