![](images/spacer.gif) |
|
|
| | | | | |
|
|
|
|
|
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) |
|
|
|
|
|
|
|
| | | | |
Electronic Communications in Probability. ISSN: 1083-589X |
|