# Fractional heat equation

### From Mwiki

(2 intermediate revisions not shown) | |||

Line 8: | Line 8: | ||

The fractional heat kernel $p(t,x)$ is the fundamental solution to the fractional heat equation. It is the function which solves the equation | The fractional heat kernel $p(t,x)$ is the fundamental solution to the fractional heat equation. It is the function which solves the equation | ||

\begin{align*} | \begin{align*} | ||

- | p(0,x) &= \ | + | p(0,x) &= \delta_{\{x\}} \\ |

p_t(t,x) + (-\Delta)^s p &= 0 | p_t(t,x) + (-\Delta)^s p &= 0 | ||

\end{align*} | \end{align*} | ||

Line 20: | Line 20: | ||

For the special case $s=1/2$, the heat kernel coincides with the Cauchy kernel for the Laplace equation in the upper half space | For the special case $s=1/2$, the heat kernel coincides with the Cauchy kernel for the Laplace equation in the upper half space | ||

\[ p(t,x) = \frac 1 {\omega_{n+1}} \frac t {(x^2+t^2)^{\frac{n+1}2}}. \] | \[ p(t,x) = \frac 1 {\omega_{n+1}} \frac t {(x^2+t^2)^{\frac{n+1}2}}. \] | ||

+ | |||

+ | More generally, the heat kernel can be shown to exists for certain nonlocal regular Dirichlet forms $(\mathcal{E}, D(\mathcal{E}))$. Assume | ||

+ | \[ \mathcal{E}(u,v) = \int\limits_{\mathbb{R}^d} \int\limits_{\mathbb{R}^d} \big( u(y)-u(x) \big) \big( v(y)-v(x) \big) J(x,y) \, dx dy \] | ||

+ | and $D(\mathcal{E})$ is the closure of smooth, compactly supported functions with respect to $\mathcal{E}(u,u) + \|u\|^2_{L^2}$. | ||

+ | |||

+ | Then the corresponding transition semigroup has a heat kernel $p(t,x,y)$ under quite general assumptions on $J(x,y)$<ref name="BBCK09"/>. | ||

+ | |||

+ | If $J(x,y)$ is comparable to $|x-y|^{-d-\alpha}$, $p(t,x,y)$ satisfies a bound like above <ref name="BL02"/><ref name="ChKu03"/>. One can relax the assumptions significantly and still prove sharp bounds for small time as well as for large time <ref name="CKK11"/>. | ||

+ | |||

+ | |||

+ | == References == | ||

+ | {{reflist|refs= | ||

+ | <ref name="CKK11"> | ||

+ | {{Citation | last3=Kumagai | first3=Takashi | last2=Kim | first2=Panki | last1=Chen | first1=Zhen-Qing | title=Global heat kernel estimates for symmetric jump processes | url=http://dx.doi.org/10.1090/S0002-9947-2011-05408-5 | doi=10.1090/S0002-9947-2011-05408-5 | year=2011 | journal=[[Transactions of the American Mathematical Society]] | issn=0002-9947 | volume=363 | issue=9 | pages=5021–5055}} </ref> | ||

+ | <ref name="BBCK09"> | ||

+ | {{Citation | last1=Barlow | first1=Martin T. | last2=Bass | first2=Richard F. | last3=Chen | first3=Zhen-Qing | last4=Kassmann | first4=Moritz | title=Non-local Dirichlet forms and symmetric jump processes | url=http://dx.doi.org/10.1090/S0002-9947-08-04544-3 | doi=10.1090/S0002-9947-08-04544-3 | year=2009 | journal=[[Transactions of the American Mathematical Society]] | issn=0002-9947 | volume=361 | issue=4 | pages=1963–1999}} | ||

+ | </ref> | ||

+ | <ref name="BL02"> | ||

+ | {{Citation | last1=Bass | first1=Richard F. | last2=Levin | first2=David A. | title=Transition probabilities for symmetric jump processes | url=http://dx.doi.org/10.1090/S0002-9947-02-02998-7 | doi=10.1090/S0002-9947-02-02998-7 | year=2002 | journal=[[Transactions of the American Mathematical Society]] | issn=0002-9947 | volume=354 | issue=7 | pages=2933–2953}} | ||

+ | </ref> | ||

+ | <ref name="ChKu03"> | ||

+ | {{Citation | last1=Chen | first1=Zhen-Qing | last2=Kumagai | first2=Takashi | title=Heat kernel estimates for stable-like processes on d-sets | url=http://dx.doi.org/10.1016/S0304-4149(03)00105-4 | doi=10.1016/S0304-4149(03)00105-4 | year=2003 | journal=Stochastic Processes and their Applications | issn=0304-4149 | volume=108 | issue=1 | pages=27–62}}</ref> | ||

+ | }} |

## Latest revision as of 21:55, 8 July 2012

The fractional heat equation refers to the parabolic equation \[ u_t + (-\Delta)^s u = 0,\] where $(-\Delta)^s$ stands for the fractional Laplacian.

In principle one could study the equation for any value of $s$. The values in the range $s \in (0,1]$ are particularly interesting because in that range the equation has a maximum principle.

## Heat kernel

The fractional heat kernel $p(t,x)$ is the fundamental solution to the fractional heat equation. It is the function which solves the equation \begin{align*} p(0,x) &= \delta_{\{x\}} \\ p_t(t,x) + (-\Delta)^s p &= 0 \end{align*}

The kernel is easy to compute in Fourier side as $\hat p(t,\xi) = e^{-t|\xi|^{2s}}$. There is no explicit formula in physical variables for general values of $s$, but the following inequalities are known to hold for some constant $C$ \[ C^{-1} \left( t^{-\frac n {2s}} \wedge \frac{t}{|x|^{n+2s}} \right) \leq p(t,x) \leq C \left( t^{-\frac n {2s}} \wedge \frac{t}{|x|^{n+2s}} \right). \]

Moreover, the function $p$ is $C^\infty$ in $x$ for $t>0$ and the following identity follows by scaling \[ p(t,x) = t^{-\frac n {2s}} p \left( 1 , t^{-\frac 1 {2s}} x \right). \]

For the special case $s=1/2$, the heat kernel coincides with the Cauchy kernel for the Laplace equation in the upper half space \[ p(t,x) = \frac 1 {\omega_{n+1}} \frac t {(x^2+t^2)^{\frac{n+1}2}}. \]

More generally, the heat kernel can be shown to exists for certain nonlocal regular Dirichlet forms $(\mathcal{E}, D(\mathcal{E}))$. Assume \[ \mathcal{E}(u,v) = \int\limits_{\mathbb{R}^d} \int\limits_{\mathbb{R}^d} \big( u(y)-u(x) \big) \big( v(y)-v(x) \big) J(x,y) \, dx dy \] and $D(\mathcal{E})$ is the closure of smooth, compactly supported functions with respect to $\mathcal{E}(u,u) + \|u\|^2_{L^2}$.

Then the corresponding transition semigroup has a heat kernel $p(t,x,y)$ under quite general assumptions on $J(x,y)$^{[1]}.

If $J(x,y)$ is comparable to $|x-y|^{-d-\alpha}$, $p(t,x,y)$ satisfies a bound like above ^{[2]}^{[3]}. One can relax the assumptions significantly and still prove sharp bounds for small time as well as for large time ^{[4]}.

## References

- ↑
Barlow, Martin T.; Bass, Richard F.; Chen, Zhen-Qing; Kassmann, Moritz (2009), "Non-local Dirichlet forms and symmetric jump processes",
*Transactions of the American Mathematical Society***361**(4): 1963–1999, doi:10.1090/S0002-9947-08-04544-3, ISSN 0002-9947, http://dx.doi.org/10.1090/S0002-9947-08-04544-3 - ↑
Bass, Richard F.; Levin, David A. (2002), "Transition probabilities for symmetric jump processes",
*Transactions of the American Mathematical Society***354**(7): 2933–2953, doi:10.1090/S0002-9947-02-02998-7, ISSN 0002-9947, http://dx.doi.org/10.1090/S0002-9947-02-02998-7 - ↑
Chen, Zhen-Qing; Kumagai, Takashi (2003), "Heat kernel estimates for stable-like processes on d-sets",
*Stochastic Processes and their Applications***108**(1): 27–62, doi:10.1016/S0304-4149(03)00105-4, ISSN 0304-4149, http://dx.doi.org/10.1016/S0304-4149(03)00105-4 - ↑
Chen, Zhen-Qing; Kim, Panki; Kumagai, Takashi (2011), "Global heat kernel estimates for symmetric jump processes",
*Transactions of the American Mathematical Society***363**(9): 5021–5055, doi:10.1090/S0002-9947-2011-05408-5, ISSN 0002-9947, http://dx.doi.org/10.1090/S0002-9947-2011-05408-5