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Stochastic solutions for time-fractional heat equations with complex spatial variables
- Publication Year :
- 2021
-
Abstract
- We deal with complex spatial diffusion equations with time-fractional derivative and study their stochastic solutions. In particular, we complexify the integral operator solution to the heat-type equation where the time derivative is replaced with the convolution-type generalization of the regularized Caputo derivative. We prove that this operator is solution of a complex time-fractional heat equation with complex spatial variable. This approach leads to a wrapped Brownian motion on a circle time-changed by the inverse of the related subordinator. This time-changed Brownian motion is analyzed and, in particular, some results on its moments, as well as its construction as weak limit of continuous-time random walks, are obtained. The extension of our approach to the higher dimensional case is also provided.<br />Comment: 18 pages
- Subjects :
- Mathematics - Probability
26A33, 60G22
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2112.09486
- Document Type :
- Working Paper