Extending the deterministic Riemann–Liouville and Caputo operators to the random framework: A mean square approach with applications to solve random fractional differential equations

C. Burgos, J.-C. Cortés, L. Villafuerte and R.-J. Villanueva

Chaos, Solitons & Fractals, 2017, vol. 102, issue C, 305-318

Abstract: This paper extends both the deterministic fractional Riemann–Liouville integral and the Caputo fractional derivative to the random framework using the mean square random calculus. Characterizations and sufficient conditions to guarantee the existence of both fractional random operators are given. Assuming mild conditions on the random input parameters (initial condition, forcing term and diffusion coefficient), the solution of the general random fractional linear differential equation, whose fractional order of the derivative is α ∈ [0, 1], is constructed. The approach is based on a mean square chain rule, recently established, together with the random Fröbenius method. Closed formulae to construct reliable approximations for the mean and the covariance of the solution stochastic process are also given. Several examples illustrating the theoretical results are included.

Keywords: Random mean square Riemann–Liouville integral; Random mean square Caputo derivative; Random fractional linear differential equation; Random Fröbenius method (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:102:y:2017:i:c:p:305-318

DOI: 10.1016/j.chaos.2017.02.008

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