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This paper establishes explicit solutions for fractional diffusion problems on bounded domains. It also gives stochastic solutions, in terms of Markov processes time-changed by an inverse stable subordinator whose index equals the order of the fractional time derivative. Some applications are given, to demonstrate how to specify a well-posed Dirichlet problem for space-time fractional diffusions in one or several variables. This solves an open problem in numerical analysis.
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Zolotarev proved a duality result that relates stable densities with different indices. In this paper, we show how Zolotarev duality leads to some interesting results on fractional diffusion. Fractional diffusion equations employ fractional derivatives in place of the usual integer order derivatives. They govern scaling limits of random walk models, with power law jumps leading to fractional derivatives in space, and power law waiting times between the jumps leading to fractional derivatives in time. The limit process is a stable Levy motion that models the jumps, subordinated to an inverse stable process that models the waiting times. Using duality, we relate the density of a spectrally negative stable process with index $1<alpha<2$ to the density of the hitting time of a stable subordinator with index $1/alpha$, and thereby unify some recent results in the literature. These results also provide a concrete interpretation of Zolotarev duality in terms of the fractional diffusion model.
We give a direct proof of the sharp two-sided estimates, recently established in [4,9], for the Dirichlet heat kernel of the fractional Laplacian with gradient perturbation in $C^{1, 1}$ open sets by using Duhamel formula. We also obtain a gradient estimate for the Dirichlet heat kernel. Our assumption on the open set is slightly weaker in that we only require $D$ to be $C^{1,theta}$ for some $thetain (alpha/2, 1]$.
We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-boundary value problem for a degenerate Hamilton-Jacobi-Bellman integro-partial differential equation in a bounded domain. We show that the unique viscosity solution is the value function of the associated stochastic optimal control problem. We also obtain the dynamic programming principle for the associated stochastic optimal control problem in a bounded domain.
In the context of a metric measure Dirichlet space satisfying volume doubling and Poincare inequality, we prove the parabolic Harnack inequality for weak solutions of the heat equation associated with local nonsymmetric bilinear forms. In particular, we show that these weak solutions are locally bounded.
The stiff problem is concerned with a thermal conduction model with a singular barrier of zero volume. In this paper, we shall build the phase transitions for the stiff problems in one-dimensional space. It turns out that every phase transition definitely depends on the total thermal resistance of the barrier, and the three phases correspond to the so-called impermeable pattern, semi-permeable pattern and permeable pattern of thermal conduction respectively. For each pattern, the related boundary condition of the flux at the barrier is also derived. Mathematically, we shall introduce and explore the so-called snapping out Markov process, which is the probabilistic counterpart of semi-permeable pattern in the stiff problem.
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