Fractional Cauchy problems on bounded domains

Abstract

Fractional Cauchy problems replace the usual first-order time derivative by a fractional derivative. This paper develops classical solutions and stochastic analogues for fractional Cauchy problems in a bounded domain $D\subset\mathbb{R}^d$ with Dirichlet boundary conditions. Stochastic solutions are constructed via an inverse stable subordinator whose scaling index corresponds to the order of the fractional time derivative. Dirichlet problems corresponding to iterated Brownian motion in a bounded domain are then solved by establishing a correspondence with the case of a half-derivative in time.Comment: Published in at http://dx.doi.org/10.1214/08-AOP426 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org