We deal with some extensions of the space-fractional diffusion equation, which is satisfied by the density of a stable process (see Mainardi et al. (2001)): the first equation considered here is obtained by adding an exponential differential (or shift) operator expressed in terms of the Riesz–Feller derivative. We prove that this produces a random component in the time-argument of the corresponding stable process, which is represented by the so-called Poisson process with drift. Analogously, if we add, to the space-fractional diffusion equation, a logarithmic differential operator involving the Riesz-derivative, we obtain, as a solution, the transition semigroup of a stable process subordinated by an independent gamma subordinator with drift. Finally, we show that an extension of the space-fractional diffusion equation, containing both the fractional shift operator and the Feller integral, is satisfied by the transition density of the process obtained by time-changing the stable process with an independent linear birth process with drift.

Fractional diffusion-type equations with exponential and logarithmic differential operators / Beghin, Luisa. - In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS. - ISSN 0304-4149. - STAMPA. - 128:7(2018), pp. 2427-2447. [10.1016/j.spa.2017.09.013]

Fractional diffusion-type equations with exponential and logarithmic differential operators

Beghin, Luisa
2018

Abstract

We deal with some extensions of the space-fractional diffusion equation, which is satisfied by the density of a stable process (see Mainardi et al. (2001)): the first equation considered here is obtained by adding an exponential differential (or shift) operator expressed in terms of the Riesz–Feller derivative. We prove that this produces a random component in the time-argument of the corresponding stable process, which is represented by the so-called Poisson process with drift. Analogously, if we add, to the space-fractional diffusion equation, a logarithmic differential operator involving the Riesz-derivative, we obtain, as a solution, the transition semigroup of a stable process subordinated by an independent gamma subordinator with drift. Finally, we show that an extension of the space-fractional diffusion equation, containing both the fractional shift operator and the Feller integral, is satisfied by the transition density of the process obtained by time-changing the stable process with an independent linear birth process with drift.
2018
Fractional exponential operator; Fractional logarithmic operator; Gamma process with drift; Riesz-Feller derivative; Yule-Furry process; Statistics and Probability; Modeling and Simulation; Applied Mathematics
01 Pubblicazione su rivista::01a Articolo in rivista
Fractional diffusion-type equations with exponential and logarithmic differential operators / Beghin, Luisa. - In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS. - ISSN 0304-4149. - STAMPA. - 128:7(2018), pp. 2427-2447. [10.1016/j.spa.2017.09.013]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1020831
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