Random-time processes governed by differential equations of fractional distributed order

L. Beghin

Chaos, Solitons & Fractals, 2012, vol. 45, issue 11, 1314-1327

Abstract: We analyze here different types of fractional differential equations, under the assumption that their fractional order ν∈(0,1] is random with probability density n(ν). We start by considering the fractional extension of the recursive equation governing the homogeneous Poisson process N(t), t>0. We prove that, for a particular (discrete) choice of n(ν), it leads to a process with random time, defined as N(T∼ν1,ν2(t)),t>0. The distribution of the random time argument T∼ν1,ν2(t) can be expressed, for any fixed t, in terms of convolutions of stable-laws. The new process N(T∼ν1,ν2) is itself a renewal and can be shown to be a Cox process. Moreover we prove that the survival probability of N(T∼ν1,ν2), as well as its probability generating function, are solution to the so-called fractional relaxation equation of distributed order (see [16]).

Date: 2012
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:45:y:2012:i:11:p:1314-1327

DOI: 10.1016/j.chaos.2012.07.001

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