The probabilistic point of view on the generalized fractional partial differential equations

Fractional Calculus and Applied Analysis. 2019. Vol. 22. No. 3. P. 543–600.

Колокольцов В. Н.

This paper aims at unifying and clarifying the recent advances in the analysis of the fractional and generalized fractional Partial Differential Equations of Caputo and Riemann-Liouville type arising essentially from the probabilistic point of view. This point of view leads to the path integral representation for the solutions of these equations, which is seen to be stable with respect to the initial data and key parameters and is directly amenable to numeric calculations (Monte-Carlo simulation). In many cases these solutions can be compactly presented via the wide class of operatorvalued analytic functions of the Mittag-Leffler type, which are proved to be expressed as the Laplace transforms of the exit times of monotone Markov processes.

Ключевые слова: Fractional Equations, дробные уравнения, Markov process, марковские процессы

ПУБЛИКАЦИЯ ПОДГОТОВЛЕНА ПО РЕЗУЛЬТАТАМ ПРОЕКТА: Анализ стохастических явлений, описываемых дробными стохастическими уравнениями, динамикой Ланжевена с упругими соударениями, анализ экстремальных событий (2019)