TMA4500

Industrial Mathematics, Specialization Project:

An introduction to fractional calculus
Fredrik Joachim Gjestland
January 31, 2013
Abstract
This paper attempts to introduce fractional calculus to those with little or
no prior knowledge of the eld. The paper is divided into two parts: The rst
part (sections 2 through 6) will explore fractional derivatives and integrals
through the intuitive approach of changing the order of the derivative from
a natural number to a real number after nding the general integer order
derivative of a function. We will see that this does not always work and
introduce the RiemannLiouville fractional integral and derivative. A few
properties of the RiemannLiouville notation will be explored and we will
see that it is consistent with integer order derivatives and integrals. Some
examples of both fractional derivatives and fractional integrals will be shown.
The second part (sections 7 and 8) will use the Fourier transform to motivate
weak dierentiability, and we will use this to dene the Sobolev space of
integer order. Weak dierentiability will also be taken in the Fourier-sense
which we will use to dene Sobolev spaces of non-integer order, specically
the Bessel potential space.
1
Contents
1 History and applications 3
I 4
2 Denitions 4
3 Power functions 6
4 Exponential functions, consistency and non-local properties 6
5 The RiemannLiouville fractional integral 8
6 The RiemannLiouville fractional derivative 15
II 18
7 Fourier transformation 18
8 Sobolev spaces 25
9 Concluding remarks and further studies 28
10 References 29
2
1 History and applications
The eld of fractional calculus is almost as old as calculus itself, but over the last
decades the usefulness of this mathematical theory in applications as well as its
merits in pure mathematics has become more and more evident. In 1695 LHpital
raised the question of Leibniz notation of
D
n
x
Dx
n
in a letter to Leibniz himself, specif-
ically asking what the result would be if n equaled
1
2
, to which Leibniz replied "an
apparent paradox, from which one day useful consequences will be drawn [1]. The
rst mention of a fractional derivative in a published paper is by Lacroix in 1819
[2]. The rst use of fractional derivatives to solve a problem is by Abel in 1823 in
the process of solving the tautochrone problem [2].
In spite of this, we have only in recent decades seen it blossom as a research
eld of its own. Because of an integral in standard denitions of non-integer order
derivatives, it is apparent that these derivatives are non-local operators, which ex-
plains one of their most signicant uses in applications: A non-integer derivative
at a certain point in time or space contains information about the function at ear-
lier or later points in time or space respectively. This is a property it shares with
several materials such as viscoelastic materials or polymers, as well as principles
in applications such as anomalous diusion. This fact is also one of the reasons
for the recent interest in fractional calculus: Fractional derivatives can be used to
construct simple material models and unied principles. Fractional spaces, and
the corresponding non-local equations are now experiencing impressive applica-
tions in dierent subjects, among others, the thin obstacle problem [3, 4], nance
[5], conservation laws [6] and fractional quantum mechanics [7].
3
Part I
2 Denitions
We shall make use of the following functions and operators:
The gamma function
Denition The gamma function, : RZ
0
R, is a generalization of the
factorial, n!. It is dened by
(x) =
_

0
e
t
t
x1
dt, x RZ
0
.
It relates to the factorial in the following way: (n) = (n 1)! whenever n is a
positive natural number. Under the sub criterion (x+1) = x(x) it is the unique
generalization of the factorial from the natural numbers to the real numbers. For
non-positive integer x it is not well-dened, in this paper we dene (x) = for
x Z
0
.
The beta function
Denition The beta function, B : R
2
R is dened as the denite integral
B(x, y) =
_
1
0
t
x1
(1 t)
y1
dt, x, y R.
This is consistent with the alternative denition
B(x, y) =
(x)(y)
(x + y)
, x, y R.
The Mittag-Leer function
The Mittag-Leer function, named after Swedish mathematician Magnus Gustaf
Mittag-Leer plays an important role in solving fractional dierential equations.
This is due to its occurrence when solving fractional dierential equations. It is
dened as follows:
Denition The Mittag-Leer function E : R R with subscripts , is dened
as
E

(x) =

k=0
x
k
(k + 1)
, , , x R.
4
E
,
(x) =

k=0
x
k
(k + )
, , , x R.
In the case where and are both positive numbers the series converges for all
arguments x because the gamma function dominates any exponential function for
suciently large values of x. Although Mittag-Leer himself dened this function
using contour integrals, the commonly used denition is as above. Some notable
special cases of the Mittag-Leer function for dierent parameters are
E
1,1
(x) =

k=0
x
k
(k + 1)
=

k=0
x
k
k!
= e
x
, x R.,
E
0,1
(x) =

k=0
x
k
(1)
=

k=0
x
k
=
1
1 x
, 0 < x < 1,
and
E
2,1
(x) =

k=0
x
k
(2k + 1)
= cosh(

x), x R.
The MellinRoss function
Denition The MellinRoss function, M : R
2
R is dened by
M
v,a
(x) =
e
ax
(v)
_
x
0
t
v1
e
t
dt, x, v, a R.
It is related to the Mittag-Leer function in the following way:
M
v,a
(x) = x
v
E
1,v+1
(ax).
A special case of the MellinRoss function occurs for v = 0 in which case we obtain
M
0,a
(x) = e
ax
.
The dierentiation operator
We will use the notation
d
dx
f(x), Df(x) and D
1
f(x) for the rst-order derivative of
a function, similarly we will use
d
n
(dx)
n
f(x), D
n
f(x) for higher order integer deriva-
tives. In section 7
x
f(x) will be used, and the subscript indicates the variable of
dierentiation. If dealing with fractional derivatives, which are derivatives of real,
non-integer order, we will write R instead of n N in the exponents. When
using this notation with negative exponents, the meaning may vary depending on
the context, but will be used to denote anti-derivatives or integrals.
5
3 Power functions
As an introduction to the fractional derivative, let us consider one of the simplest
cases, namely that of a power function; a function of the kind f(x) = x
m
, m N.
By induction it is trivial to show that
d
n
(dx)
n
x
m
=
m!
(mn)!
x
mn
, (1)
when n is a natural number and m is greater than or equal to n. A natural next
step is to use the gamma function as a generalization of the factorial in order to
extend (1) from natural numbers n to real numbers . By imposing linearity in
the exponent of the power function when looking at the fractional derivative of a
power function we arrive at
d

(dx)

x
m
=
(m + 1)
(m + 1)
x
m
, (2)
when is a real number and m is greater than or equal to . An example of this
is when =
1
2
and m = 1, in which case we get
d
1
2
(dx)
1
2
x =
(2)
(
3
2
)
x
1
2
= 2
_
x

.
4 Exponential functions, consistency and non-local
properties
Another intuitive example the fractional derivative is that of e
ax
. The ordinary
derivative of this function is
d
n
(dx)
n
e
an
= a
n
e
an
. (3)
Again we want to extend the possible values from n in N to in R for (3). We let
d

(dx)

e
ax
= a

e
ax
, (4)
for any real number .
Let us, assuming (4), look at the term wise application of the fractional derivative
dened by (2) for the Taylor expansion of e
x
:
6
e
x
=
d

dx

e
x
=
d

dx

n=0
x
n
n!
=

n=0
d

dx

x
n
(n + 1)
=

n=0
(n+1)
(n+1)
x
n
(n + 1)
=

n=0
x
n
(n + 1)
. (5)
Proposition 4.1. Equation (5) is equal to e
x
if and only if = 0, 1, 2, , mean-
ing that the denitions (2) and (4) are incompatible for in RZ
0
under term
wise dierentiation.
Proof. We want (5) to be true for all values of x, which includes 0. Because e
0
= 1
we require

n=0
x
n
(n + 1)
to contain a term that is independent of x (otherwise x = 0 would cause every
term to vanish and we would get e
0
= 0 which is a contradiction). The only way
for the series to contain such a term is if n = for some n in Z
0
. This can only
be true for in Z
0
.
For Z
0

n=0
x
n
(n + 1)
=

n=
x
n
(n + 1)
because (k) is dened as for k Z
0
. Furthermore

n=
x
n
(n + 1)
=

n=0
x
n
(n + 1)
=

n=0
x
n
n!
= e
x
.
The reason for this contradiction under the assumption of term wise dierentiation
is, as the reader may have anticipated, the non-local property of the fractional
7
derivative. Note that D
1
F(x), D
2
F(x), D
3
F(x), are integer-order integrals,
not derivatives. For the case = 1, we get
D
1
e
x
= e
x
=
_
x

e
t
dt. (6)
For the power functions, we get
D
1
x
m
=
x
m+1
m + 1
=
_
x
0
t
m
dt. (7)
Taking into account the dierent lower limits of integration in the two expres-
sions, the dierent results should no longer be surprising. This non-local property
provides the motivation for the Riemann-Liouville notation presented in the next
section.
5 The RiemannLiouville fractional integral
Denition Let v be a real non-negative number and let f be piecewise continuous
on (0, ) and integrable on any nite subinterval of (0, ). Then for t > 0 we
call (8) the RiemannLiouville fractional integral of f order v.
c
D
v
x
f(x) =
1
(v)
_
x
c
(x t)
v1
f(t)dt. (8)
There exists motivations for (8), let us look at one which involves the theory of
linear dierential equations.
Proposition 5.1. The nth order initial value problem:
y
n
(x) = f(x),
(9)
y(c) = y

(c) = y

(c) = = y
(n1)
(c) = 0.
has the unique solution
y(x) =
_
x
c
(x t)
n1
(n 1)!
f(t)dt. (10)
Proof. This can be proved by induction. For n = 1 the problem is
y

(x) = f(x), y

(c) = 0. (11)
8
Using (10) to solve (11) we get
_
x
c
y

(t)dt =
_
x
c
(x 1)
11
(1 1)!
f(t)dt
y(x) y(c) = y(x) =
_
x
c
f(t)dt.
Assuming (10) is true for n = k, we want to show that it is also true for n = k +1,
in other words we consider
y
(k+1)
(x) = f(x),
y(c) = y

(c) = y

(c) = = y
(k)
(c) = 0. (12)
We know that y
(k+1)
(x) = (y

)
(k)
(x), so let us put u(x) = y

(x). Now (12) can be

written as
u
k
(x) = f(x),
u(c) = u

(c) = u

(c) = = u
(k1)
(c) = 0.
Under the induction hypothesis we get
_
x
c
y

(t)dt =
_
x
z=c
__
z
t=c
(z t)
k1
(k 1)!
f(t)dt
_
dz,
or
y(x) y(c) = y(x)
=
_
x
t=c
__
x
z=t
(z t)
k1
(k 1)!
f(t)dz
_
dt
=
_
x
c
(x t)
k
k!
f(t)dt.
Conrming (10).
Remark To complete the denition of the Riemann-Liouville integral we note
that f(x) in (9) is the nth derivative of y(x), so we may consider y(x) to be the
nth integral of f(x), thus
c
D
n
x
f(x) =
1
(n 1)!
_
x
c
(x t)
n1
f(t)dt. (13)
Finally we replace the integer n by any positive real number v and change the
factorial to a gamma function. (13) then turns into (8) as intended. Often the
notation is shortened to D
v
f(x) where c = 0 is used as a lower limit for the
integration and the variable, x, is understood from the context.
9
5.1 The law of exponents for fractional integrals
Lemma 5.2. Dirichlets formula
Let h(x, y) be jointly continuous and let and v be positive numbers. Then
_
t
0
(t x)
1
dx
_
x
0
(x y)
v1
h(x, y)dy =
_
t
0
dy
_
t
y
(t x)
1
(x y)
v1
h(x, y)dx.
(14)
Theorem 5.3. Let f be a continuous function on (0, ) and let , v > 0. Then
for all t (0, ), D

[D
v
f(t)] = D
(+v)
f(t).
Proof. By denition of the fractional integral we have
D

[D
v
f(t)] =
1
()
_
t
0
(t x)
1
[D
v
f(t)]dx
=
1
()
_
t
0
(t x)
1
_
1
(v)
_
x
0
(x y)
v1
f(y)dy
_
dx
=
1
()(v)
_
t
0
(t x)
1
dx
_
x
0
(x y)
v1
f(y)dy,
and
D
(+v)
f(t) =
1
( + v)
_
t
0
(t y)
+v1
f(y)dy
Next we use the special case of Dirichlets formula where h(x, y) = g(x)f(y) and
g(x) = 1. Equation (14) takes the form
_
t
0
(t x)
1
dx
_
x
0
(x y)
v1
f(y)dy = B(, v)
_
t
0
(t y)
+v1
f(y)dy.
So
D

[D
v
f(t)] =
1
()(v)
_
t
0
(t x)
1
dx
_
x
0
(x y)
v1
f(y)dy
=
1
()(v)
B(, v)
_
t
0
(t y)
+v1
f(y)dy
=
1
( + v)
_
t
0
+ v 1f(y)dy
= D
+v
f(t).
10
Theorem 5.4. Let v > 0 and (f
k
)

k=1
be a uniformly convergent sequence of con-
tinuous functions on [c, b]. We may then interchange the limit process and the
fractional integration operator:
_
c
D
v
x
lim
k
f
k
_
(x) =
_
lim
k
c
D
v
x
f
k
_
(x). (15)
Proof.
[
c
D
v
x
f
k
(x)
c
D
v
x
f(x)[
1
(v)
_
x
c
[f
k
(t) f(t)[(x t)
v1
dt

1
(v + 1)
[[f
k
f[[

(b c)
v
k
0.
5.2 Examples of Riemann-Liouville integrals
Example 1
In section 3 we saw that
d
1
2
(dx)
1
2
x = 2
_
x

, x R. (16)
Let us look at the half integral in the Riemann-Liouville sense of this function for
x greater than zero.
c
D

1
2
x
_
2
_
x

_
=
1
(
1
2
)
_
x
c
(x t)

1
2
2
_
t
x
dt
=
2

(
1
2
)
_
x
c

x t
dt, u =

t, du =
1
2

t
=
2

_
t=x
t=c
u
2

x u
2
du.
Because x is greater than zero, we can make the substitution
u =

x sin(s), du =

x cos(s)ds

x u
2
=
_
x x sin
2
(s) =

x cos(s), s = sin
1
(
u

x
)
11
yielding
2

_
t=x
t=c
u
2

x u
2
du =
2

2
_
t=x
t=c
xsin
2
(s)ds
=
2

2x
_
t=x
t=c
_
1
2

1
2
cos(2s)
_
ds
=
2

2x
__
t=x
t=c
1
2
ds
_
t=x
t=c
1
2
cos(2s)ds
_
=
2

_
sx
1
2
x sin(2s)
_

t=x
t=c
=
2

(sx x sin(s) cos(s))

t=x
t=c
=
2

_
x sin
1
(
u

x
) x sin(sin
1
(
u

x
)) cos(sin
1
(
u
_
(x)
))
_

t=x
t=c
=
2

_
x sin
1
(
_
t
x
) x
_
t
x
_
1
t
x
_

x
c
=
2

_
x sin
1
(
_
t
x
)
_
tx(1
t
x
)
_

x
c
=
2

_
x sin
1
(
_
x c
x
)
_
(x c)x(1
x c
x
)
_
(17)
Notice that by choosing c=0 (as we did with the lower limit of integration in (7)),
(17) reduces to
2

x sin
1
(1) = x,
or,
0
D

1
2
x
_
d
1
2
(dx)
1
2
x
_
= x.
Meaning that for f = x, the half-integral in the Riemann-Liouville sense of the
half derivative of f is f. This property is however not true in general as we shall
see later on.
Example 2
In this example we will look at
c
D
v
x
[x

] , > 1, x R
>0
(18)
12
the general RiemannLiouville integral of order v of a power function with expo-
nent greater than 1:
c
D
v
x
x

=
1
(v)
_
x
c
(x t)
v1
t

dt (19)
=
1
(v)
_
x
c
(1
t
x
)
v1
t

dt
=
1
(v)
_
1
c
x
(1 u)
v1
x
v1
(xu)

du (u =
t
x
)
=
1
(v)
x
+v
_
1
c
x
u

(1 u)
v1
du (20)
Let us again choose c = 0, then (19) and (20) become
c
D
v
x
x

=
1
(v)
x
+v
_
1
0
u

(1 u)
v1
du
=
1
(v)
x
+v
B( + 1, v)
=
( + 1)
( + v + 1)
x
+v
which is the inverse of (2).
Example 3
The fractional integral of an exponential function,
c
D
v
x
[e
ax
] , x R
>0
, v > 0 (21)
If we apply (8) to (21) we obtain
c
D
v
x
[e
ax
] =
1
(v)
_
x
c
(x t)
v1
e
at
dt, u = x t,
=
1
(v)
_
t=x
t=c
u
v1
e
a(xu)
du
=
e
ax
(v)
_
t=x
t=c
u
v1
e
au
du. (22)
13
For integer values of v we can use integration by parts:
=
e
ax
(v)
_
t=x
t=c
u
v1
e
au
du
=
e
ax
(v)
__
e
au
u
v1
1
a
_

t=x
t=c
+
_
t=x
t=c
(v 1)u
v2
e
au
1
a
du
_
=
e
ax
(v)
__
e
au
u
v1
1
a
(v 1)e
au
u
v2
1
a
2
_

t=x
t=c
+
_
t=x
t=c
(v 1)(v 2)u
v3
e
au
1
a
2
du
_
.
.
.
=
e
ax
(v)
_
e
au
_
u
v1
1
a
+ (v 1)u
v2
1
a
2
(v)u
1
a
v1
_

t=x
t=c
+
_
t=x
t=c
(v)e
au
1
a
v1
du
_
=
e
ax
(v)
_
e
a(tx)
_
(x t)
v1
1
a
+ (v 1)(x t)
v2
1
a
2
(v)(x t)
1
a
v1
_

x
c
+
_
x
c
(v)e
a(tx)
1
a
v1
dt. ??sub@ (23)
In order to make expression (23) consistent with integer-order integrals we choose
c = (as we did in (6)), yielding the following result for integer v:

D
v
x
[e
ax
] =
e
ax
(v)
_
x

(v)e
a(tx)
1
a
v1
dt
=
e
ax
a
v1
_
x

e
a(tx)
dt
=
e
ax
a
v
(24)
which is the inverse of (3).
When v is not an integer we can not use integration by parts in the same manner,
but we can still evaluate expression (22) by using the MellinRoss function:
1
(v)
_
x
c
(x t)
v1
e
at
dt
=
1
(v)
_
0

(x t)
v1
e
at
dt +
1
(v)
_
x
0
(x t)
v1
e
at
dt. (25)
14
The second term in (25) can be evaluated as the MellinRoss function:
1
(v)
_
x
0
(x t)
v1
e
at
dt =
e
ax
(v)
_
x
0
u
v1
e
au
du, u = x t
= M
v,1
(x)
= x
v
E
1,v+1
(ax)
Giving us the expression

D
v
x
[e
ax
] =
1
(v)
_
0

(x t)
v1
e
at
dt + x
v
E
1,v+1
. (26)
It is clear that (26) is not an elementary function, but as we saw, its values for inte-
ger v coincides with the integer-order integrals of e
ax
. Note that by choosing c = 0
the rst term in (26) would disappear, but then we would not have consistency
with integer-order integrals.
6 The RiemannLiouville fractional derivative
In section 5 we dened the Riemann-Liouville fractional integral, but only for v >
0. What happens if we want to use an exponent of opposite sign? In other words:
What happens if we want to look at fractional derivatives instead of fractional
integrals? The classical, yet elegant approach is to use a derivative of the fractional
integral.
Denition Let u

:= u = n v > 0 where 0 < u < 1 and n is the smallest

integer greater than u. The fractional derivative of f(x) of order u is dened as
c
D
u

x
f(x) =
c
D
u
x
f(x)
= D
n
[
c
D
v
x
(x)f(x)]
=
1
(v)
d
n
dx
n
_
x
c
(x t)
v1
f(t)dt.
6.1 Derivatives of the fractional integral and the fractional
integral of derivatives
In Theorem 5.3 we saw that for , v > 0, D

[D
v
f(t)] = D
v
[D

f(t)]. A natu-
ral next step is to consider the more general case where , v R.
As we shall see, generally if either < 0 or v < 0
D

[D
v
f(t)] ,= D
v
[D

f(t)].
15
Theorem 6.1. If f is a continuous function and v > 0, then
D[D
v
f(t)] = D
v
[Df(t)] +
f(0)
(v)
t
v1
. (27)
Proof. By denition,
D
v
f(t) =
1
(v)
_
t
0
(t z)
v1
f(z)dz.
By making the substitutions z = t x

, =
1
v
, we get
D
v
f(t) =
1
(v)
_
0
t
v
(x

)
v1
f(t x

)(x
1
)dx,
which simplies to
D
v
f(t) =
1
(v + 1)
_
t
v
0
f(t x

)dx.
Leibniz integral rule states
d
dt
_
_
b(t)
0
g(t, x)dx
_
= g(t, b(t))b

(t) +
_
b(t)
0

t
g(t, x)dx.
We set g(t, x) = f(t x

) and obtain
D[D
v
f(t)] = D
_
1
(v + 1)
_
t
v
0
f(t x

)dx
_
=
1
(v + 1)
d
dt
_
t
v
0
g(t, x)dx
=
1
(v + 1)
_
g(t, t
v
)vt
v1
+
_
t
v
0

t
g(t, x)dx
_
=
1
(v + 1)
_
f(t t
v
)vt
v1
+
_
t
v
0

t
f(t x

)dx
_
=
1
(v + 1)
_
f(0)vt
v1
+
_
t
v
0

t
f(t x

)dx
_
.
And by reversing the substitution we obtain
D[D
v
f(t)] =
f(0)
v(v)
vt
v1
+
1
v(v)
_
0
t

t
f(z)(
1

x
1
)dz.
16
Finally, by inserting =
1
v
and x = (t z)
1
v
the equation simplies to
D[D
v
f(t)] =
f(0)
(v)
t
v1
+
1
(v)
_
t
0
(t z)
v1

t
f(z)dz.
Yielding the desired result
D[D
v
f(t)] = D
v
[Df(t)] +
f(0)
(v)
t
v1
Lemma 6.2. Let v > 0 and (f
k
)

k=1
be a uniformly convergent sequence of con-
tinuous functions on [c, b]. We may then interchange the limit process and the
fractional dierentiation operator:
_
c
D
v
x
lim
k
f
k
_
(x) =
_
lim
k
c
D
v
x
f
k
_
(x) (22)
Proof. By using theorem 5.4 the result follows from interchanging limits and inte-
ger derivatives.
6.2 Examples of RiemannLiouville derivatives
Example 1
In section 5 we suggested (2) as a fractional derivative of a power function. In
this example we will apply the Riemann-.Liouville derivative to the same function:
0
D
v
x
f(x) = D
_
0
D
(1v)
x
x

= D
_
( + 1)
( v + 2)
x
v+1
_
= ( v + 1)
( + 1)
( v + 1)( v + 1)
x
v
=
( + 1)
( v + 1)
x
v
(23)
which is consistent with (2).
Example 2
Let us now examine the fractional derivative of a constant function: f = k. We
could evaluate the RiemannLiouville operator applied to a constant function di-
rectly, but from (23) we already know the fractional derivative of a power function,
17
so let us, by using Lemma 6.2 look at what happens when we let the exponent go
to zero:
0
D
v
x
k = lim
0
0
D
v
x
kx

= lim
0
( + 1)
( v + 1)
kx
v
=
kx
v
(1 v)
. (24)
Note that for positive integer values of v the expression in (24) is identically zero
(because we dened the gamma function to be for integer arguments less than
one) as one would expect for integer derivatives of constant functions. It is also
worth mentioning that when v is not a positive integer the expression diverges as
x goes to zero. In other words, not only is the fractional derivative of a constant
not equal to zero, it goes to innity for some value of x, which is a very dierent
behavior from integer-order derivatives of constants.
Part II
7 Fourier transformation
An important tool when working with dierential equations, and as we shall see
later on, to dene spaces containing the functions of interest, is the Fourier trans-
form. In order to dene the Fourier transform, we must rst introduce the space
in which these functions belong: The Schwartz space.
Denition The Schwartz space S is the linear space of rapidly decreasing smooth
functions:
S = C

(R) : sup
xR
(1 +[x[)
k
[D
l
(x)[ < for all k, l N (25)
Denition The Fourier transformation of a function S is dened as
(T)() =

() =
_

(x)e
ix
dx (26)
Lemma 7.1. Let and be two functions in L
1
(R). Then

and

are in
L
1
(R) and
_
(t)

(t)dt =
_

(x)(x)dx (27)
18
Proof.

is bounded by the RiemannLebesgue theorem, thus

and

are in
L
1
(R). Since
e
ix
(t)(x) L
1
(R),
we can use Fubinis theorem to obtain (27):
_
(t)

(t)dt =
_
(t)
__
e
ixt
(x)dx
_
dt
=
_
(x)
__
e
ixt
(t)dt
_
dx
=
_
(x)

(x)dx
Theorem 7.2. For functions S(R) we have
(i) (x a)
F
e
ia

().
(ii) e
iax
(x)
F

( a).
(iii) (ax)
F

a
)
[a[
.
(iv)
k
x
(x)
F
(i)
k

(). (28)
(v) x
k
(x)
F
(i

)
k

(). (29)
(vi) real and even
F

real and even.
(vii) real and odd
F

imaginary and odd.
Proof.
(i) : T((x a))() =
_

e
ix
(x a)dx, u = x a,
=
_

e
i(a+u)
(u)du
= e
ia
_

e
iu
(u)du
= e
ia

(u).
19
(ii) : T(e
iax
(x))() =
_

e
ix
e
iax
(x)dx
=
_

e
ix(a)
(x)dx
=

( a).
(iii) : T((ax))() =
_

e
ix
(ax)dx, u = ax, du = adx
=
_ a
|a|

a
|a|

e
iu

a
(u)
du
a
=
1
[a[
_

e
iu

a
(u)du
=

a
)
[a[
.
(iv) : T(
k
x
(x))() =
_

e
ix

k
x
(x)dx
=
k1
x
(x)e
ix

+
_

ie
ix

k1
x
(x)dx
=
_

ie
ix

k1
x
(x)dx
=
_

(i)
2
e
ix

k2
x
(x)dx
.
.
.
=
_

(i)
k
e
ix
(x)dx
= (i)
k
_

e
ix
(x)dx
= (i)
k

().
20
(v) : (i

)
k

() = i
k

e
ix
(x)dx
= i
k
_

e
ix
(x)dx
= i
k
_

ix
k1

e
ix
(x)dx
= i
k
_

(ix)
2

k2

e
ix
(x)dx
.
.
.
= i
k
_

(ix)
k
e
ix
(x)dx
= i
k
(i)
k
_

e
ix
x
k
(x)dx
= T(x
k
(x)).
(vi) :

() =
_

e
ix
(x)dx
=
_
0

e
ix
(x)dx +
_

0
e
ix
dx
=
_

0
e
ix
(x)dx +
_

0
e
ix
(x)dx
=
_

0
2(x) cos(x)dx.
Further,

() =
_

0
2(x) cos(x)dx
=
_

0
2(x) cos(x())dx
=

().
21
(vii) :

() =
_

e
ix
(x)dx
=
_
0

e
ix
(x) +
_

0
e
ix
(x)dx
=
_

0
e
ix
(x)dx +
_

0
e
ix
(x)dx
=
_

0
2i(x) sin(x)dx.
Further,

() =
_

0
2i(x) sin(x)dx
=
_

0
2i(x) sin(x())dx
=

().
Denition For two functions and , the convolution (, ) is dened through
( )(x) =
_

(x y)(y)dy. (30)
Lemma 7.3. If either or exist, =
Proof.
( )(x) =
_

(x y)(y)dy, u = x y, du = dy
=
_

(u)(x u)du
=
_

(x u)(u)du
= ( )(x).
Theorem 7.4. Whenever f,g L
1
(R),

f g =

f g
Proof. Because fg L
1
(R) and [e
ix
[ = 1, Fubinis theorem implies that the Fourier
transformation is well-dened, and
22
T(f g)() =
_

__

f(x y)g(y)dy
_
e
ix
dx
=
_

__

f(x y)e
ix
dx
_
g(y)dy
=
_

__

f(z)e
i(z+y)
dz
_
g(y)dy
=
__

f(z)e
iz
dz
___

g(y)e
iy
dy
_
= Tf()Tg()
=

f g.
Theorem 7.5. The Fourier inversion formula for L
1
(R) C
0
(R) and


L
1
(R)is given by
(x) =
1
2
_

()e
ix
d (31)
Proof. See [8], page 163 to 164.
Lemma 7.6. S is a dense linear subspace of L
2
(R).
Proof. We need to show that o L
2
(R). For f o, there exists a K > 0 such
that (1 + x
2
)[f(x)[ K for all x in R. Thus,
_

[f(x)[
2
dx K
2
_

dx
(1 + x
2
)
2
< .
The density follows from C

0
(R) being dense in L
2
(see [8], page 193).
Proposition 7.7 (Plancherel-Parseval equality). For f and g in S,
_

f() g()d =
_

f(x)g(x)dx (32)
and
_

f()[
2
d =
_

[f(x)[
2
dx. (33)
23
Proof. Equation (32) follows directly from (27). Let (x) = f(x) and () = g(),
(27) then yields
_

()()d =
_

(x)

(x)dx.
However,
g() =
_

e
ix
g(x)dx = Tg().
Thus

= g, proving (32). To prove (33), use (32) with f = g.
Lemma 7.8. If A is a continuous linear operator from o to L
2
(R) there exists
a unique continuous linear extension of A, denoted

A, from L
2
(R) to itself. The
norm of

A is then equal to the norm of A.
Proof. Let f be an element of L
2
(R). Since o is dense in L
2
(R) there exists a
sequence in o such that
lim
n
[[f f
n
[[ = 0.
Thus f
n
is a Cauchy sequence, and since A is continuous,
[[Af
n
Af
m
[[ [[A[[[[f
n
f
m
[[,
Af
n
is a Cauchy sequence in L
2
(R). Since L
2
(R) is complete, Af
n
converges to
some element g in L
2
(R).
By letting

Af = g,

A is well-dened on L
2
(R) and is linear by denition. Further-
more,
|

Af| = |g|
= lim
n
|Af
n
|
lim
n
|A||f
n
|
= |A||f|.
Thus, |

A| |A|, and since

Af = Af
|

A| = sup
0=fL
2
(R)
|

Af|
|f|
sup
0=fL
2
(R)
|Af|
|f|
= |A|.
And we see that |

A| = |A|. Because o is dense in L
2
(R),

A is unique.
24
Remark In the denition of the Fourier transform, one needs to to divide with

2 to be correct, this was omitted in (26) by scaling it out to avoid writing it

out throughout section 7.
Theorem 7.9 (Plancherels Theorem). The Fourier transforms extends to a uni-
tary operator on L
2
(R). In particular,

f, g
L
2
(R)
= 2f, g
L
2
(R)
(34)
Proof. By proposition 7.7 and lemma 7.8, the result follows from the density of o
in L
2
(R) and taking limits.
8 Sobolev spaces
Denition A function f in L
1
loc
(R) is called weakly dierentiable if there exists a
function
x
f in L
1
loc
(R) such that
_

(
x
f)dx =
_

f
x
, for all C

0
(R).
Furthermore, if for every k = 0, 1, , n, there exists
k
x
f L
1
loc
(R) with
_

(
k
x
f)dx = (1)
k
_

f
k
x
, for all C

0
(R)
we say that f is n times weakly dierentiable with corresponding weak derivatives

k
x
f.
Denition The Sobolev space of integer order k is dened to be the set of all
functions u in L
2
(R) whose weak derivatives of order 0, 1, , k are also in L
2
(R):
W
k
(R) := W
k,2
(R) =
_
u L
2
(R) :
n
x
u L
2
(R) k = 0, 1, , n
_
(35)
Remark Sobolev spaces of integer order are usually dened in the much more
general manner W
k,p
(), but for the purpose of this paper we only worry about
the case p = 2 and = R, thus we simplify the denition to t this case.
8.1 Fractional Sobolev spaces
Most of the properties of the Fourier transform given in theorem 7.4 are true in
the L
2
setting as well as in o. However, (28) and (29), the properties concerning
derivatives, do not carry over to the new setting directly. For a function f L
2
(R),
neither the derivative (in the classical or the weak sense),
x
f(x), nor the function
xf(x) have to exist. We can however remember (28): If

f() is in L
2
(R) we would
expect f to be dierentiable with a derivative
x
f in L
2
(R).
25
Lemma 8.1. If
(1 +[[
2
)
n
2
g() L
2
(R), n Z
0
there exists an n times weakly dierentiable function f in L
2
(R) with

f = g and
weak derivatives in L
2
(R) such that

k
x
f
F
(i)
k
g() L
2
(R), k = 0, 1, , n.
Proof. Clearly, g is in L
2
(R) so there exists f L
2
(R) and a sequence
j

jZ
>0

o such that
lim
j
|f
j
|
2
L
2
(R
=
1
2
lim
j
|g

j
|
2
L
2
(R)
= 0.
Because (1 + [[
2
)
n
2
g() is in L
2
(R), so is [[
k
g() for k = 1, 2, , n. From
Lebesgues dominated theorem we obtain
lim
j
_
[[
2k
[g()

j
()[d = 0
since

j
g and a convergent series is bounded. Thus (i)
k

j
(i)
k
g in L
2
(R)
and
_

k
x
= (1)
k
_

k
x

j
_
dx
= (1)
k
_

T
1
_
(i)
k
g
_
.
which by denition are weak derivatives.
By Lemma 8.1 we can rewrite (35) in the following way:
H
k
(R) := W
k
(R) =
_
u L
2
(R) : T
1
(1 +[[
2
)
k
2
Tu(x) L
2
(R)
_
. (36)
Denition In order to extend the Sobolev spaces from integer numbers k to real
numbers s we replace k with s in (36) to obtain the Bessel potential space
H
s
(R) =
_
u L
2
(R) : T
1
(1 +[[
2
)
s
2
Tu(x) L
2
(R)
_
(37)
with the induced inner product
f, g
H
s
(R)
=
_

(1 +[[
2
)
s

f() g()d.
26
This denition oer us a tool to simplify the analysis of the H
s
-spaces on R by
using polynomials instead of derivative operators in its denition. H
s
is a Hilbert
space, so it is complete and oers a geometric interpretation through inner prod-
ucts.
As noted in the abstract, this paper is meant to be an introduction to fractional
calculus, and to some it might seem to be a strange place to end it. However,
this is also the starting point of the authors masters thesis, and in that sense a
natural ending point.
27
9 Concluding remarks and further studies
We have seen how fractional calculus generalizes classical calculus by extending
operators concerning derivatives and integrals from integer-order to non-integer
order, we have however not discussed whether this is something of value or a
curiosity (or to quote Leibniz, as was done in section 1: "an apparent paradox,
from which one day useful consequences will be drawn). Fractional calculus does
however have applications, so saying it is merely a curiosity is far from a correct
statement. However, one of the problems arising when working with fractional
derivatives is that, unlike in integer calculus where the derivative of an elementary
function is an elementary function, most functions have non-elementary fractional
derivatives, making them harder to work with. Another problem is that non-
integer order derivatives or integrals have no clear interpretation, as opposed to in
integer-order calculus where the derivative can be taken as the slope of the tan-
gent line at any point which makes integer-order calculus a a lot more applicable
to problems in physics and other elds where mathematics are applied.
Even though there are aspects making fractional calculus more troublesome than
integer calculus, a lot of interesting results and ideas arises from working with the
eld. Specically, analyzing the Fourier transform of a fractional derivative in the
RiemannLiouville sense and seeing whether or not it is consistent with the gen-
eralization of the the weak derivative in the Fourier sense done in (37). Another
task of interest would be comparing the RiemannLiouville notation to the Caputo
or the Hadamard fractional integral (which were both omitted in this paper) to
study which cases one of them provide advantageous properties over the others.
And perhaps the most obvious task: To pick up where this paper ends and study
the H
s
(R) space.
28
10 References
1. K. Miller, B. Ross; An Introduction to the Fractional Calculus and Fractional
Dierential Equations, John Wiley Sons, Inc., 1993.
2. B. Ross (editor); Fractional Calculus and Its Applications; Proceedings of the
International Conference Held at the University of New Haven, June 1974, Springer
Verlag, 1975.
3. L. Silvestre, Regularity of the obstacle problem for a fractional power of the
Laplace operator, Communications on Pure and Applied Mathematics 60 (2007),
no. 1, 67112.
4. E. Milakis and L. Silvestre, Regularity for the nonlinear Signorini problem,
Advances in Math. 217 (2008), 13011312.
5. R. Cont and P. Tankov, Financial modelling with jump processes, Chapman
Hall/CRC Financial Mathematics Series, Chapman Hall/CRC, Boca Raton, FL,
2004.
6. P. Biler, G. Karch and W. A. Woyczynski, Critical non-linearity exponent and
self-similar asymptotics for Levy conservation laws, Ann. Inst. H. Poincar Anal.
Non Linaire 18 (2001), no. 5, 613637.
7. R.L.P. do Amaral and E.C. Marino, Canonical quantization of theories contain-
ing fractional powers of the dAlembertian operator, J. Phys. A 25 (1992) 5183.
8. C. Gasquet, P. Witomski; Fourier Analysis and Applications, ISBN: 0-387-
98485-2
29