Boris Baeumer

Stochastic solution of space-time fractional diffusion equations.

Classical and anomalous diffusion equations employ integer derivatives, fractional derivatives, and other pseudodifferential operators in space. In this paper we show that replacing the integer time derivative by a fractional derivative subordinates the original stochastic solution to an inverse stable subordinator process whose probability distributions are Mittag-Leffler type. This leads to explicit solutions for space-time fractional diffusion equations with multiscaling space-fractional derivatives, and additional insight into the meaning of these equations.