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Rgkpdx
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I will give an answer concerning definitions of fractional\nonlocal derivatives that are Markovian generators of stochastic processes with jumps. I will briefly argue that

  • Different definitions arise naturally,
  • there is a clear interpretation of many properties (like nonlocality or killing/not-killing constants), and
  • generalizations are natural and meaningful for applications.

It is useful to look at the most simple stochastic jump process and its corresponding generator. Take a Markov chain $P=\{p_{i,j}\}_{i,j\in \text{State space}}$ (which is intrinsically jumpy) and write out its generator
$$ \mathcal G f(x):=(P-I)f(x)=\sum_{y\in\text{ State space}}(f(y)-f(x))p_{x,y},\quad x\in\text{ State space}. $$ Here the intuition is clear: the infinitesimal jump (working with unit time in this case) from $x$ to $y$ is assigned intensity/probability $p_{x,y}$. The operator $\mathcal G$ is non-local. If we modify the process (impose boundary conditions), say by forcing the process to be absorbed at $a\in\text{ State space}$ once it tries to jump to a state $y\notin \Omega\subset \text{State space},$ we obtain a new generator $$ \mathcal G^{\text{abs}} f(x):=(P^{\text{abs}}-I)f(x)=\sum_{y\in\Omega}(f(y)-f(x))p_{x,y}+(f(a)-f(x))\sum_{y\notin\Omega}p_{x,y},\quad x\in\Omega $$$$ \mathcal G^{\text{abs}} f(x):=(P^{\text{abs}}-I)f(x)=\sum_{y\in\Omega}(f(y)-f(x))p_{x,y}+(f(a)-f(x))\sum_{y\notin\Omega}p_{x,y},\quad x\in\Omega. $$ If we instead decide to kill it (by testing against functions with $f(a)=0$, for example), the new generator will be $$ \mathcal G^{\text{kill}} f(x):=(P^{\text{kill}}-I)f(x)=\sum_{y\in\Omega}(f(y)-f(x))p_{x,y}-f(x)\sum_{y\notin\Omega}p_{x,y},\quad x\in\Omega. $$ So from one single process we can obtain many different generators/fractional derivative (as mentioned in a comment above, the boundary conditions are reflected in the representation of the operator away from the boundary due to the non-locality of $\mathcal G$).

Let us now move to the Riemann-Liouville and Caputo derivatives of order $\beta\in(0,1)$. Consider the three fractional derivatives for $x<a$ \begin{align} D^{\beta}_{\infty}f(x)&:= \int_0^{\infty}(f(x+y)-f(x))\nu(y)dy, \\ ^{C}D^{\beta}_a f(x):&= \int_0^{a-x}(f(x+y)-f(x))\nu(y)dy &+(f(a)-f(x))\int_{a-x}^\infty\nu(y)dy,\\ ^{RL}D^{\beta}_af(x)&:= \int_0^{a-x}(f(x+y)-f(x))\nu(y)dy &-f(x)\int_{a-x}^\infty\nu(y)dy, \end{align} where $\nu(y):=\frac{-\Gamma(-\beta)^{-1}}{y^{1+\beta}}$. Similarly as for the Markov chain above: the operator $D^{\beta}_{\infty}$ is the generator of a $\beta$-stable subordinator $X^\beta(s)$, the operator $^{C}D^{\beta}_a$ is the generator of a $\beta$-stable subordinator $X^\beta(s)$ absorbed at $\{a\}$ on the first attempt to jump outside $\Omega:=(-\infty,a)$, and the operator $^{RL}D^{\beta}_a$ is the generator of a $\beta$-stable subordinator $X^\beta(s)$ killed on the first attempt to jump outside $\Omega:=(-\infty,a)$. Integrating by parts we can rewrite the three operators above in their Riemann-Liouville integral representation, namely \begin{align} D^{\beta}_{\infty}f(x)&= \int_x^{\infty}f'(y)\frac{(y-x)^{-\beta}}{\Gamma(1-\beta)}dy \\ ^{C}D^{\beta}_a f(x)&= \int_x^{a}f'(y)\frac{(y-x)^{-\beta}}{\Gamma(1-\beta)}dy,\\ ^{RL}D^{\beta}_af(x)&= \frac{d}{dx}\int_x^{a}f(y)\frac{(y-x)^{-\beta}}{\Gamma(1-\beta)}dy, \end{align} where the last two operators are your standard definitions of Caputo and Riemann-Liouvile derivatives (right and left versions will correspond to the processes $X^\beta(s)$ and $-X^{\beta}(s)$ respectively). We can now say that the Caputo derivative $^{C}D^{\beta}_a$ (Riemann-Liouville derivative $^{RL}D^{\beta}_a$) kills (does not kill) constants as it is the generator of a process (killed process). Again you can see that (naturally) $^{C}D^{\beta}_a$ and $^{RL}D^{\beta}_a$ contain boundary information in their representation away from the boundary (in sharp difference with local differential operators). Some references: Caputo, Riemann-Liouville, and Grünwald-Leitnikov derivatives from a stochastic point of view in this book. Reflecting boundary conditions and other options for Caputo derivatives of order $\beta\in(1,2)$ here and here.

By substituting a general Lévy measure $\nu(x,dy)$ in the formulas above (generalizing fractional derivatives), many meaningful stochastic processes and their versions on a bounded domain can be accessedstudied through their generators (see book, article ).

  Similar arguments can be carried over for some fractional Laplacians (see this book for example).

Some other references: Caputo and Riemann-Liouville, and Grünwald-Leitnikov derivatives from a stochastic point of view in this book. Reflecting boundary conditions and other options for Caputo derivatives of order $\beta\in(1,2)$ here and here.

I will give an answer concerning definitions of fractional\nonlocal derivatives that are Markovian generators of stochastic processes with jumps. I will briefly argue that

  • Different definitions arise naturally,
  • there is a clear interpretation of many properties (like nonlocality or killing/not-killing constants), and
  • generalizations are natural and meaningful for applications.

It is useful to look at the most simple stochastic jump process and its corresponding generator. Take a Markov chain $P=\{p_{i,j}\}_{i,j\in \text{State space}}$ (which is intrinsically jumpy) and write out its generator
$$ \mathcal G f(x):=(P-I)f(x)=\sum_{y\in\text{ State space}}(f(y)-f(x))p_{x,y},\quad x\in\text{ State space}. $$ Here the intuition is clear: the infinitesimal jump (working with unit time in this case) from $x$ to $y$ is assigned intensity/probability $p_{x,y}$. The operator $\mathcal G$ is non-local. If we modify the process (impose boundary conditions), say by forcing the process to be absorbed at $a\in\text{ State space}$ once it tries to jump to a state $y\notin \Omega\subset \text{State space},$ we obtain a new generator $$ \mathcal G^{\text{abs}} f(x):=(P^{\text{abs}}-I)f(x)=\sum_{y\in\Omega}(f(y)-f(x))p_{x,y}+(f(a)-f(x))\sum_{y\notin\Omega}p_{x,y},\quad x\in\Omega $$ If we instead decide to kill it (by testing against functions with $f(a)=0$, for example) the new generator will be $$ \mathcal G^{\text{kill}} f(x):=(P^{\text{kill}}-I)f(x)=\sum_{y\in\Omega}(f(y)-f(x))p_{x,y}-f(x)\sum_{y\notin\Omega}p_{x,y},\quad x\in\Omega. $$ So from one single process we can obtain many different generators/fractional derivative (as mentioned in a comment above, the boundary conditions are reflected in the representation of the operator away from the boundary due to the non-locality of $\mathcal G$).

Let us now move to the Riemann-Liouville and Caputo derivatives of order $\beta\in(0,1)$. Consider the three fractional derivatives for $x<a$ \begin{align} D^{\beta}_{\infty}f(x)&:= \int_0^{\infty}(f(x+y)-f(x))\nu(y)dy, \\ ^{C}D^{\beta}_a f(x):&= \int_0^{a-x}(f(x+y)-f(x))\nu(y)dy &+(f(a)-f(x))\int_{a-x}^\infty\nu(y)dy,\\ ^{RL}D^{\beta}_af(x)&:= \int_0^{a-x}(f(x+y)-f(x))\nu(y)dy &-f(x)\int_{a-x}^\infty\nu(y)dy, \end{align} where $\nu(y):=\frac{-\Gamma(-\beta)^{-1}}{y^{1+\beta}}$. Similarly as for the Markov chain above: the operator $D^{\beta}_{\infty}$ is the generator of a $\beta$-stable subordinator $X^\beta(s)$, the operator $^{C}D^{\beta}_a$ is the generator of a $\beta$-stable subordinator $X^\beta(s)$ absorbed at $\{a\}$ on the first attempt to jump outside $\Omega:=(-\infty,a)$, and the operator $^{RL}D^{\beta}_a$ is the generator of a $\beta$-stable subordinator $X^\beta(s)$ killed on the first attempt to jump outside $\Omega:=(-\infty,a)$. Integrating by parts we can rewrite the three operators above in their Riemann-Liouville integral representation, namely \begin{align} D^{\beta}_{\infty}f(x)&= \int_x^{\infty}f'(y)\frac{(y-x)^{-\beta}}{\Gamma(1-\beta)}dy \\ ^{C}D^{\beta}_a f(x)&= \int_x^{a}f'(y)\frac{(y-x)^{-\beta}}{\Gamma(1-\beta)}dy,\\ ^{RL}D^{\beta}_af(x)&= \frac{d}{dx}\int_x^{a}f(y)\frac{(y-x)^{-\beta}}{\Gamma(1-\beta)}dy, \end{align} where the last two operators are your standard definitions of Caputo and Riemann-Liouvile derivatives (right and left versions will correspond to the processes $X^\beta(s)$ and $-X^{\beta}(s)$ respectively). We can now say that the Caputo derivative $^{C}D^{\beta}_a$ (Riemann-Liouville derivative $^{RL}D^{\beta}_a$) kills (does not kill) constants as it is the generator of a process (killed process). Again you can see that (naturally) $^{C}D^{\beta}_a$ and $^{RL}D^{\beta}_a$ contain boundary information in their representation away from the boundary (in sharp difference with local differential operators).

By substituting a general Lévy measure $\nu(x,dy)$ in the formulas above (generalizing fractional derivatives), many meaningful stochastic processes and their versions on bounded domain can be accessed (see book, article ).

  Similar arguments can be carried over for some fractional Laplacians (see this book for example).

Some other references: Caputo and Riemann-Liouville, and Grünwald-Leitnikov derivatives from a stochastic point of view in this book. Reflecting boundary conditions and other options for Caputo derivatives of order $\beta\in(1,2)$ here and here.

I will give an answer concerning definitions of fractional\nonlocal derivatives that are Markovian generators of stochastic processes with jumps. I will briefly argue that

  • Different definitions arise naturally,
  • there is a clear interpretation of many properties (like nonlocality or killing/not-killing constants), and
  • generalizations are natural and meaningful for applications.

It is useful to look at the most simple stochastic jump process and its corresponding generator. Take a Markov chain $P=\{p_{i,j}\}_{i,j\in \text{State space}}$ (which is intrinsically jumpy) and write out its generator
$$ \mathcal G f(x):=(P-I)f(x)=\sum_{y\in\text{ State space}}(f(y)-f(x))p_{x,y},\quad x\in\text{ State space}. $$ Here the intuition is clear: the infinitesimal jump (working with unit time in this case) from $x$ to $y$ is assigned intensity/probability $p_{x,y}$. The operator $\mathcal G$ is non-local. If we modify the process (impose boundary conditions), say by forcing the process to be absorbed at $a\in\text{ State space}$ once it tries to jump to a state $y\notin \Omega\subset \text{State space},$ we obtain a new generator $$ \mathcal G^{\text{abs}} f(x):=(P^{\text{abs}}-I)f(x)=\sum_{y\in\Omega}(f(y)-f(x))p_{x,y}+(f(a)-f(x))\sum_{y\notin\Omega}p_{x,y},\quad x\in\Omega. $$ If we instead decide to kill it (by testing against functions with $f(a)=0$, for example), the new generator will be $$ \mathcal G^{\text{kill}} f(x):=(P^{\text{kill}}-I)f(x)=\sum_{y\in\Omega}(f(y)-f(x))p_{x,y}-f(x)\sum_{y\notin\Omega}p_{x,y},\quad x\in\Omega. $$ So from one single process we can obtain many different generators/fractional derivative (as mentioned in a comment above, the boundary conditions are reflected in the representation of the operator away from the boundary due to the non-locality of $\mathcal G$).

Let us now move to the Riemann-Liouville and Caputo derivatives of order $\beta\in(0,1)$. Consider the three fractional derivatives for $x<a$ \begin{align} D^{\beta}_{\infty}f(x)&:= \int_0^{\infty}(f(x+y)-f(x))\nu(y)dy, \\ ^{C}D^{\beta}_a f(x):&= \int_0^{a-x}(f(x+y)-f(x))\nu(y)dy &+(f(a)-f(x))\int_{a-x}^\infty\nu(y)dy,\\ ^{RL}D^{\beta}_af(x)&:= \int_0^{a-x}(f(x+y)-f(x))\nu(y)dy &-f(x)\int_{a-x}^\infty\nu(y)dy, \end{align} where $\nu(y):=\frac{-\Gamma(-\beta)^{-1}}{y^{1+\beta}}$. Similarly as for the Markov chain above: the operator $D^{\beta}_{\infty}$ is the generator of a $\beta$-stable subordinator $X^\beta(s)$, the operator $^{C}D^{\beta}_a$ is the generator of a $\beta$-stable subordinator $X^\beta(s)$ absorbed at $\{a\}$ on the first attempt to jump outside $\Omega:=(-\infty,a)$, and the operator $^{RL}D^{\beta}_a$ is the generator of a $\beta$-stable subordinator $X^\beta(s)$ killed on the first attempt to jump outside $\Omega:=(-\infty,a)$. Integrating by parts we can rewrite the three operators above in their Riemann-Liouville integral representation, namely \begin{align} D^{\beta}_{\infty}f(x)&= \int_x^{\infty}f'(y)\frac{(y-x)^{-\beta}}{\Gamma(1-\beta)}dy \\ ^{C}D^{\beta}_a f(x)&= \int_x^{a}f'(y)\frac{(y-x)^{-\beta}}{\Gamma(1-\beta)}dy,\\ ^{RL}D^{\beta}_af(x)&= \frac{d}{dx}\int_x^{a}f(y)\frac{(y-x)^{-\beta}}{\Gamma(1-\beta)}dy, \end{align} where the last two operators are your standard definitions of Caputo and Riemann-Liouvile derivatives (right and left versions will correspond to the processes $X^\beta(s)$ and $-X^{\beta}(s)$ respectively). We can now say that the Caputo derivative $^{C}D^{\beta}_a$ (Riemann-Liouville derivative $^{RL}D^{\beta}_a$) kills (does not kill) constants as it is the generator of a process (killed process). Again you can see that (naturally) $^{C}D^{\beta}_a$ and $^{RL}D^{\beta}_a$ contain boundary information in their representation away from the boundary (in sharp difference with local differential operators). Some references: Caputo, Riemann-Liouville, and Grünwald-Leitnikov derivatives from a stochastic point of view in this book. Reflecting boundary conditions and other options for Caputo derivatives of order $\beta\in(1,2)$ here and here.

By substituting a general Lévy measure $\nu(x,dy)$ in the formulas above (generalizing fractional derivatives), many meaningful stochastic processes and their versions on a bounded domain can be studied through their generators (see book, article ). Similar arguments can be carried over for some fractional Laplacians (see this book for example).

Source Link
Rgkpdx
Rgkpdx
  • 213
  • 1
  • 5

I will give an answer concerning definitions of fractional\nonlocal derivatives that are Markovian generators of stochastic processes with jumps. I will briefly argue that

  • Different definitions arise naturally,
  • there is a clear interpretation of many properties (like nonlocality or killing/not-killing constants), and
  • generalizations are natural and meaningful for applications.

It is useful to look at the most simple stochastic jump process and its corresponding generator. Take a Markov chain $P=\{p_{i,j}\}_{i,j\in \text{State space}}$ (which is intrinsically jumpy) and write out its generator
$$ \mathcal G f(x):=(P-I)f(x)=\sum_{y\in\text{ State space}}(f(y)-f(x))p_{x,y},\quad x\in\text{ State space}. $$ Here the intuition is clear: the infinitesimal jump (working with unit time in this case) from $x$ to $y$ is assigned intensity/probability $p_{x,y}$. The operator $\mathcal G$ is non-local. If we modify the process (impose boundary conditions), say by forcing the process to be absorbed at $a\in\text{ State space}$ once it tries to jump to a state $y\notin \Omega\subset \text{State space},$ we obtain a new generator $$ \mathcal G^{\text{abs}} f(x):=(P^{\text{abs}}-I)f(x)=\sum_{y\in\Omega}(f(y)-f(x))p_{x,y}+(f(a)-f(x))\sum_{y\notin\Omega}p_{x,y},\quad x\in\Omega $$ If we instead decide to kill it (by testing against functions with $f(a)=0$, for example) the new generator will be $$ \mathcal G^{\text{kill}} f(x):=(P^{\text{kill}}-I)f(x)=\sum_{y\in\Omega}(f(y)-f(x))p_{x,y}-f(x)\sum_{y\notin\Omega}p_{x,y},\quad x\in\Omega. $$ So from one single process we can obtain many different generators/fractional derivative (as mentioned in a comment above, the boundary conditions are reflected in the representation of the operator away from the boundary due to the non-locality of $\mathcal G$).

Let us now move to the Riemann-Liouville and Caputo derivatives of order $\beta\in(0,1)$. Consider the three fractional derivatives for $x<a$ \begin{align} D^{\beta}_{\infty}f(x)&:= \int_0^{\infty}(f(x+y)-f(x))\nu(y)dy, \\ ^{C}D^{\beta}_a f(x):&= \int_0^{a-x}(f(x+y)-f(x))\nu(y)dy &+(f(a)-f(x))\int_{a-x}^\infty\nu(y)dy,\\ ^{RL}D^{\beta}_af(x)&:= \int_0^{a-x}(f(x+y)-f(x))\nu(y)dy &-f(x)\int_{a-x}^\infty\nu(y)dy, \end{align} where $\nu(y):=\frac{-\Gamma(-\beta)^{-1}}{y^{1+\beta}}$. Similarly as for the Markov chain above: the operator $D^{\beta}_{\infty}$ is the generator of a $\beta$-stable subordinator $X^\beta(s)$, the operator $^{C}D^{\beta}_a$ is the generator of a $\beta$-stable subordinator $X^\beta(s)$ absorbed at $\{a\}$ on the first attempt to jump outside $\Omega:=(-\infty,a)$, and the operator $^{RL}D^{\beta}_a$ is the generator of a $\beta$-stable subordinator $X^\beta(s)$ killed on the first attempt to jump outside $\Omega:=(-\infty,a)$. Integrating by parts we can rewrite the three operators above in their Riemann-Liouville integral representation, namely \begin{align} D^{\beta}_{\infty}f(x)&= \int_x^{\infty}f'(y)\frac{(y-x)^{-\beta}}{\Gamma(1-\beta)}dy \\ ^{C}D^{\beta}_a f(x)&= \int_x^{a}f'(y)\frac{(y-x)^{-\beta}}{\Gamma(1-\beta)}dy,\\ ^{RL}D^{\beta}_af(x)&= \frac{d}{dx}\int_x^{a}f(y)\frac{(y-x)^{-\beta}}{\Gamma(1-\beta)}dy, \end{align} where the last two operators are your standard definitions of Caputo and Riemann-Liouvile derivatives (right and left versions will correspond to the processes $X^\beta(s)$ and $-X^{\beta}(s)$ respectively). We can now say that the Caputo derivative $^{C}D^{\beta}_a$ (Riemann-Liouville derivative $^{RL}D^{\beta}_a$) kills (does not kill) constants as it is the generator of a process (killed process). Again you can see that (naturally) $^{C}D^{\beta}_a$ and $^{RL}D^{\beta}_a$ contain boundary information in their representation away from the boundary (in sharp difference with local differential operators).

By substituting a general Lévy measure $\nu(x,dy)$ in the formulas above (generalizing fractional derivatives), many meaningful stochastic processes and their versions on bounded domain can be accessed (see book, article ).

Similar arguments can be carried over for some fractional Laplacians (see this book for example).

Some other references: Caputo and Riemann-Liouville, and Grünwald-Leitnikov derivatives from a stochastic point of view in this book. Reflecting boundary conditions and other options for Caputo derivatives of order $\beta\in(1,2)$ here and here.