Stochastic solutions for time-fractional heat equations with complex spatial variables

Abstract

We deal with complex spatial diffusion equations with time-fractional derivative and study their stochastic solutions. In particular, we complexify the integral operator solution to the heat-type equation where the time derivative is replaced with the convolution-type generalization of the regularized Caputo derivative. We prove that this operator is solution of a complex time-fractional heat equation with complex spatial variable. This approach leads to a wrapped Brownian motion on a circle time-changed by the inverse of the related subordinator. This time-changed Brownian motion is analyzed and, in particular, some results on its moments, as well as its construction as weak limit of continuous-time random walks, are obtained. The extension of our approach to the higher dimensional case is also provided.