We present the stochastic solution to a generalized fractional partial differential equation involving a regularized operator related to the so-called Prabhakar operator and admitting, amongst others, as specific cases the fractional diffusion equation and the fractional telegraph equation. The stochastic solution is expressed as a Lévy process time-changed with the inverse process to a linear combination of (possibly subordinated) independent stable subordinators of different indices. Furthermore a related SDE is derived and discussed.

Fractional diffusion-telegraph equations and their associated stochastic solutions / D'Ovidio, Mirko; Polito, Federico. - In: TEORIÂ VEROÂTNOSTEJ I EE PRIMENENIÂ. - ISSN 0040-361X. - 62:4(2017), pp. 692-718. [10.1137/S0040585X97T988812]

Fractional diffusion-telegraph equations and their associated stochastic solutions

Mirko D'Ovidio;
2017

Abstract

We present the stochastic solution to a generalized fractional partial differential equation involving a regularized operator related to the so-called Prabhakar operator and admitting, amongst others, as specific cases the fractional diffusion equation and the fractional telegraph equation. The stochastic solution is expressed as a Lévy process time-changed with the inverse process to a linear combination of (possibly subordinated) independent stable subordinators of different indices. Furthermore a related SDE is derived and discussed.
2017
Time-changed processes; Lévy processes; Prabhakar operators; Regularized Prabhakar derivative; Fractional derivatives; Stochastic solution
01 Pubblicazione su rivista::01a Articolo in rivista
Fractional diffusion-telegraph equations and their associated stochastic solutions / D'Ovidio, Mirko; Polito, Federico. - In: TEORIÂ VEROÂTNOSTEJ I EE PRIMENENIÂ. - ISSN 0040-361X. - 62:4(2017), pp. 692-718. [10.1137/S0040585X97T988812]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1447551
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