Multidimensional fractional advection-dispersion equations and related stochastic processes

Mirko D'Ovidio (Sapienza, Univeristy of Rome)
Roberto Garra (Sapienza, University of Rome)

Abstract


In this paper we study multidimensional fractional advection-dispersion equations involving fractional directional derivatives both from a deterministic and a stochastic point of view. For such equations we show the connection with a class of multidimensional Lévy processes. We introduce a novel Lévy-Khinchine formula involving fractional gradients and study the corresponding infinitesimal generator of multi-dimensional random processes. We also consider more general fractional transport equations involving Frobenius-Perron operators and their stochastic solutions. Finally, some results about fractional power of second order directional derivatives and their applications are also provided.

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Pages: 1-31

Publication Date: July 12, 2014

DOI: 10.1214/EJP.v19-2854

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