Subordination principle and Feynman-Kac formulae for generalized time-fractional evolution equations

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作者
Christian Bender
Marie Bormann
Yana A. Butko
机构
[1] Universität des Saarlandes,Fakultät für Mathematik und Informatik
[2] Universität Leipzig,Fakultät für Mathematik und Informatik
[3] Technische Universität Braunschweig, Institut für Mathematische Stochastik
关键词
Time-fractional evolution equations; Subordination principle; Feynman-Kac formulae; Randomly scaled Gaussian processes; Generalized grey Brownian motion; Time-changed Markov processes; Hille-Phillips functional calculus; 35R11; 35C15; 47D06; 47D08; 47A60; 60G22; 60J25;
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摘要
We consider a class of generalized time-fractional evolution equations containing a fairly general memory kernel k and an operator L being the generator of a strongly continuous semigroup. We show that a subordination principle holds for such evolution equations and obtain Feynman-Kac formulae for solutions of these equations with the use of different stochastic processes, such as subordinate Markov processes and randomly scaled Gaussian processes. In particular, we obtain some Feynman-Kac formulae with generalized grey Brownian motion and other related self-similar processes with stationary increments.
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页码:1818 / 1836
页数:18
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