Fractional diffusions with time-varying coefficients

This paper is concerned with the fractionalized diffusion equations governing the law of the fractional Brownian motion BH(t). We obtain solutions of these equations which are probability laws extending that of BH(t). Our analysis is based on McBride fractional operators generalizing the hyper-Bessel operators L and converting their fractional power Lα into Erdélyi–Kober fractional integrals. We study also probabilistic properties of the random variables whose distributions satisfy space-time fractional equations involving Caputo and Riesz fractional derivatives. Some results emerging from the analysis of fractional equations with time-varying coefficients have the form of distributions of time-changed random variables.

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