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.| File | Dimensione | Formato | |
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