Stochastic solutions of generalized time-fractional evolution equations

We consider a general class of integro-differential evolution equations which includes the governing equation of the generalized grey Brownian motion and the time- and space-fractional heat equation. We present a general relation between the parameters of the equation and the distribution of the underlying stochastic processes, as well as discuss different classes of processes providing stochastic solutions of these equations. For a subclass of evolution equations, containing Marichev-Saigo-Maeda time-fractional operators, we determine the parameters of the corresponding processes explicitly. Moreover, we explain how self-similar stochastic solutions with stationary increments can be obtained via linear fractional Levy motion for suitable pseudo-differential operators in space.

Automated summary

In this article, we consider a general class of integro-differential evolution equations that includes the governing equation of the generalized grey Brownian motion and the time- and space-fractional heat equation. We present a general relation between the parameters of the equation and the distribution of the underlying stochastic processes, as well as discuss different classes of processes providing stochastic solutions of these equations. For a subclass of evolution equations containing Marichev-Saigo-Maeda time-fractional operators, we determine the parameters of the corresponding processes explicitly. Moreover, we explain how self-similar stochastic solutions with stationary increments can be obtained via linear fractional Levy motion for suitable pseudo-differential operators in space.