Analysis of fractional Cauchy problems with some probabilistic applications

Abstract

In this paper we give an explicit solution of Dzherbashyan-Caputo-fractional Cauchy problems related to equations with derivatives of order $\nu k$, for $k$ non-negative integer and $\nu>0$. The solution is obtained by connecting the differential equation with the roots of the characteristic polynomial and it is expressed in terms of Mittag-Leffler-type functions. Under the some stricter hypothesis the solution can be expressed as a linear combination of Mittag-Leffler functions with common fractional order $\nu$. We establish a probabilistic relationship between the solutions of differential problems with order $\nu/m$ and $\nu$, for natural $m$. Finally, we use the described method to solve fractional differential equations arising in the fractionalization of partial differential equations related to the probability law of planar random motions with finite velocities.