In full space: sure they are! The simplest way to get to them is to observe that $$ \partial_{x_j} p_t^{(n)}(x) = -\frac{x_j}{2 \pi} \, p_t^{(n+2)}(\tilde x) , \tag{A} $$ where $x = (x_1, \ldots, x_n) \in \mathbb R^n$, $\tilde x = (x_1, \ldots, x_n, 0, 0) \in \mathbb R^{n+2}$, and $p_t^{(n)}(x)$ is the heat kernel for $(-\Delta)^s$ in $n$ dimensions. The above observation is a direct application of the following Bochner's relation for the radial function $f(\xi) = \exp(-t |\xi|^{2s})$, $V(x) = x_j$, and $\ell = 1$.

Bochner's relation (see Corollary on page 72 in [Stein]) Let $f$ and $g$ be two radial Schwartz functions in $\mathbb R^n$ and $\mathbb R^{n+2\ell}$, with the same profile function (i.e. $f(\xi) = g(\tilde \xi)$ if $|\xi| = |\tilde \xi|$), and let $V$ be a homogeneous harmonic polynomial of degree $\ell$. Suppose that $x \in \mathbb R^d$, $\tilde x \in \mathbb R^{d + 2 \ell}$ satisfy $|x| = |\tilde x|$. Then $$ \mathscr F_n [-i^\ell V(\xi) f(\xi)](x) = V(x) \mathscr F_{n+2\ell} \tilde f(\tilde{x}) . $$ Here $\mathscr F_n$ denotes the $n$-dimensional Fourier transform.

Formula (A) is stated explicitly in Theorem 1.5 in [KR] (in a greater generality; I bet there is an earlier reference for the fractional Laplacian).

For the Dirichlet heat kernel, there is a whole line of related research by various authors (Bogdan, Chen, Grzywny, Jakubowski, Kim, Kulczycki, Ryznar, Song, Szczypkowski, Vondraček). I can find an exact reference if you need it.

For more general "boundary" conditions, the answer depends on what kind of boundary condition you are interested in, but I suppose this has not been studied in a great generality.

References:

• [KR] T. Kulczycki, M. Ryznar, Gradient estimates of harmonic functions and transition densities for Lévy processes, Trans. Amer. Math. Soc. 368 (2016), no. 1, 281-318.

• [Stein] Stein, E.M., Singular Integrals and Differentiability Properties of Functions. Princeton University Press, Princeton (1970)

In full space: sure they are! The simplest way to get to them is to observe that $$ \partial_{x_j} p_t^{(n)}(x) = -\frac{x_j}{2 \pi} \, p_t^{(n+2)}(\tilde x) , \tag{A} $$ where $x = (x_1, \ldots, x_n) \in \mathbb R^n$, $\tilde x = (x_1, \ldots, x_n, 0, 0) \in \mathbb R^{n+2}$, and $p_t^{(n)}(x)$ is the heat kernel for $(-\Delta)^s$ in $n$ dimensions. The above observation is a direct application of the following Bochner's relation for the radial function $f(\xi) = \exp(-t |\xi|^{2s})$, $V(x) = x_j$, and $\ell = 1$.

Bochner's relation (see Corollary on page 72 in [Stein]) Let $f$ and $g$ be two radial Schwartz functions in $\mathbb R^n$ and $\mathbb R^{n+2\ell}$, with the same profile function (i.e. $f(\xi) = g(\tilde \xi)$ if $|\xi| = |\tilde \xi|$), and let $V$ be a homogeneous harmonic polynomial of degree $\ell$. Suppose that $x \in \mathbb R^d$, $\tilde x \in \mathbb R^{d + 2 \ell}$ satisfy $|x| = |\tilde x|$. Then $$ \mathscr F_n [-i^\ell V(\xi) f(\xi)](x) = V(x) \mathscr F_{n+2\ell} \tilde f(\tilde{x}) . $$ Here $\mathscr F_n$ denotes the $n$-dimensional Fourier transform.

Formula (A) is stated explicitly in Theorem 1.5 in [KR] (in a greater generality; I bet there is an earlier reference for the fractional Laplacian).

For the Dirichlet heat kernel, there is a whole line of related research by various authors (Bogdan, Chen, Grzywny, Jakubowski, Kim, Kulczycki, Ryznar, Song, Szczypkowski, Vondraček). The upper bound $$ |\nabla_x p_t^D(x,y)| \leqslant \frac{C}{\min\{\operatorname{dist}(x,D^c), t^{1/(2s)}\}} p_D(t, x, y) $$ for the gradient of the heat kernel of $(-\Delta)^s$ in an open set $D$ is given as Example 5.1 in [KR] (note: this may have been written in some earlier work). And the estimates of $p_D(t, x, y)$ are well-known: they were established in [CKS] for domains with smooth ($C^{1,1}$) boundary, and in [BGR] for Lipschitz sets.

For more general "boundary" conditions, the answer depends on what kind of boundary condition you are interested in, but I suppose this has not been studied in a great generality.

References:

• [BGR] K. Bogdan, T. Grzywny, M. Ryznar, Heat kernel estimates for the fractional Laplacian with Dirichlet conditions. Ann. Probab. 38(5) (2010): 1901–1923.

• [CKS] Z.-Q. Chen, P. Kim, R. Song, Heat kernel estimates for Dirichlet fractional Laplacian. J. Eur. Math. Soc. 12 (2010): 1307–1329.

• [KR] T. Kulczycki, M. Ryznar, Gradient estimates of harmonic functions and transition densities for Lévy processes, Trans. Amer. Math. Soc. 368 (2016), no. 1, 281-318.

• [Stein] Stein, E.M., Singular Integrals and Differentiability Properties of Functions. Princeton University Press, Princeton (1970)