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Abstra t
The aim of these introdu
tory le
tures is to provide the reader with the essentials
of the fra
tional
al
ulus a
ording to dierent approa
hes that
an be useful for our
appli
ations in the theory of probability and sto
hasti
pro
esses. We dis
uss the
linear operators of fra
tional integration and fra
tional dierentiation, whi
h were
introdu
ed in pioneering works by Abel, Liouville, Riemann, Weyl, Mar
haud, M.
Riesz, Feller and Caputo. Parti
ular attention is devoted to the te
hniques of Fourier
and Lapla
e transforms for treating these operators in a way a
essible to applied
s
ientists, avoiding unprodu
tive generalities and ex
essive mathemati
al rigor. Furthermore, we dis
uss the approa
h based on limit of dieren
e quotients, formerly
introdu
ed by Grunwald and Letnikov, whi
h provides a dis
rete view-point to the
fra
tional
al
ulus. Su
h approa
h is very useful for a
tual numeri
al
omputation
and is
omplementary to the previous integral approa
hes, whi
h provide the
ontinuous view-point. Finally, we give some information on the trans
endental fun
tions
of the Mittag-Leer and Wright type whi
h, together with the most
ommon Eulerian fun
tions, turn out to play a fundamental role in the theory and appli
ations
of the fra
tional
al
ulus.
Corresponding author.
28 January 2000
The fra
tional
al
ulus may be
onsidered an old and yet novel topi
. It is an
old topi
sin
e, starting from some spe
ulations of G.W. Leibniz (1695, 1697)
and L. Euler (1730), it has been developed up to nowadays. In fa
t the idea
of generalizing the notion of derivative to non integer order, in parti
ular to
the order 1/2, is
ontained in the
orresponden
e of Leibniz with Bernoulli,
L'H^opital and Wallis. Euler took the rst step by observing that the result
of the evaluation of the derivative of the power fun
tion has a a meaning for
non-integer order thanks to his Gamma fun
tion.
A list of mathemati
ians, who have provided important
ontributions up to
the middle of the 20-th
entury, in
ludes P.S. Lapla
e (1812), J.B.J. Fourier
(1822), N.H. Abel (1823-1826), J. Liouville (1832-1837), B. Riemann (1847),
H. Holmgren (1865-67), A.K. Grunwald (1867-1872), A.V. Letnikov (18681872), H. Laurent (1884), P.A. Nekrassov (1888), A. Krug (1890), J. Hadamard
(1892), O. Heaviside (1892-1912), S. Pin
herle (1902), G.H. Hardy and J.E.
Littlewood (1917-1928), H. Weyl (1917), P. Levy (1923), A. Mar
haud (1927),
H.T. Davis (1924-1936), A. Zygmund (1935-1945), E.R. Love (1938-1996), A.
Erdelyi (1939-1965), H. Kober (1940), D.V. Widder (1941), M. Riesz (1949),
W. Feller (1952).
However, it may be
onsidered a novel topi
as well, sin
e only from less than
thirty years it has been obje
t of spe
ialized
onferen
es and treatises. For the
rst
onferen
e the merit is as
ribed to B. Ross who organized the First Conferen
e on Fra
tional Cal
ulus and its Appli
ations at the University of New
Haven in June 1974, and edited the pro
eedings [79. For the rst monograph
the merit is as
ribed to K.B. Oldham and J. Spanier [71, who, after a joint
ollaboration started in 1968, published a book devoted to fra
tional
al
ulus
in 1974.
Nowadays, to our knowledge, the list of texts in book form devoted to fra
tional
al
ulus in
ludes less than ten titles, namely Oldham & Spanier (1974)
[71 M
Bride (1979) [63, Samko, Kilbas & Mari
hev (1987-1993) [83, Nishimoto (1991) [70, Miller & Ross (1993) [64, Kiryakova (1994) [46, Rubin
(1996) [80, Podlubny (1999) [74, among whi
h the en
y
lopaedi
treatise
by Samko, Kilbas & Mari
hev is the most prominent. Furthermore, we re
all the attention to the treatises by Davis (1936) [17, Erdelyi (1953-1954)
[22, Gel'fand & Shilov (1959-1964) [26, Dzherbashian [19,20, Caputo [13,
Babenko [4, Goren
o & Vessella [37, whi
h
ontain a detailed analysis of
some mathemati
al aspe
ts and/or physi
al appli
ations of fra
tional
al
ulus, although without expli
it mention in their titles.
For details on the histori
al development of the fra
tional
al
ulus we refer
the interested reader to Ross' bibliography in [71 and to the histori
al notes
generally available in the above quoted texts.
2
In re
ent years
onsiderable interest in fra
tional
al
ulus has been stimulated
by the appli
ations that it nds in dierent elds of s
ien
e, in
luding numeri
al analysis, physi
s, engineering, biology, e
onomi
s and nan
e. In this
respe
t we quote the
olle
tion of arti
les on the topi
of Fra
tional Dieren
ing and Long Memory Pro
esses, edited by Baillie & King (1996), appeared as
a spe
ial issue in the Journal of E
onometri
s [5, the book edited by Carpinteri and Mainardi (1997),
ontaining le
ture notes of a CISM Course devoted
Fra
tals and Fra
tional Cal
ulus in Continuum Me
hani
s [15, and nally the
forth
oming book edited by R. Hilfer (2000),
ontaining invited
ontributions
in some areas of physi
s [41.
The starting point of the so
alled Riemann-Liouville fra
tional
al
ulus is the
integral formula (attributed to Cau
hy) that redu
es the
al
ulation of the
n fold primitive of a (su
iently well behaved) fun
tion (x) (x 2 [a; b R ;
1 a < b +1) to a single integral of
onvolution type. Indeed, for any
n 2 N ; the repeated integral
Ian+ (x)
:=
x xZn 1
:::
x1
whi
h provides the n fold primitive n (x) ; vanishing at x = a with its derivatives of order 1; 2; : : : ; n 1 ;
an be written be
ause of the Cau
hy formula
as
Ian+ (x)
= n (x) =
(n 1)!
(x )n 1 ( ) d ; a x < b :
(B:1)
Then, in a natural way, one is led to extend the above formula from positive
integer values of the index n to any positive real values by using the Gamma
fun
tion. Indeed, noting that (n 1)! = (n) ; and introdu
ing the arbitrary
positive real number ; one denes the fra
tional integral of order > 0 as
Ia+ (x)
1
:=
()
(B:2)
Ib
1
(x) :=
()
(
(B:3)
We also note that, before Riemann, fra
tional integrals with a = 0 have been
onsidered by Abel [1,2 when he introdu
ed his integral equation, named after
him, to treat the problem of the tauto
hrone. It was Abel who gave the rst
appli
ation of fra
tional
al
ulus to me
hani
s in solving his problem by inverting the fra
tional integral, see e.g. Goren
o & Vessella (1991) [37. In these
as to Abel-Riemann
le
tures we agree to refer to the fra
tional integral I0+
fra
tional integral; for them we use the spe
ial and simplied notation J in
agreement with the notation introdu
ed by Goren
o & Vessella (1991) [37
and then followed in any paper of ours.
Before introdu
ing the fra
tional derivative let us point out the fundamental
property of the fra
tional integrals, namely the semi-group property a
ording
to whi
h
Ia+ Ia+ = Ia++ ; Ib Ib = Ib+ ; ; 0 :
(B:4)
The fra
tional derivative of order
an be introdu
ed as the left inverse of
the
orresponding fra
tional integral, so extending the similar property of the
ommon derivative of integer order. In fa
t it is straightforward to re
ognize
that the derivative of any integer order n = 0; 1; 2; : : :
dn
(x) = (n) (x) ; a < x < b
dxn
satises the following
omposition rules with respe
t to the repeated integrals
of the same order n ; Ian+ (x) and Ibn (x)
Dn (x) =
8
>
>
>
<
>
>
>
:
8
>
>
>
<
>
>
>
:
Ibn
a < x < b;
(k) (a+ )
(x a)k ;
k!
k=0
nX1
Dn (x)
=(
1)n
(x)
nX1 (k) (b
k!
k=0
(b
x)k
(B:5a)
>
:
Db
(x) := (
Da+ Ia+ = Dm Iam+ Ia+ = Dm Iam+ = I :
5
The fra
tional derivatives, like the fra
tional integrals, turn out to be
ontinuous with respe
t to the order, redu
ing to the to the standard repeated
derivatives when the order is an integer. However, when the order is not integer, the fra
tional derivatives (namely the "proper" fra
tional derivatives) do
not follow ne
essarily the "semi-group" property of the fra
tional integrals: in
this respe
t the starting point a 6= 1 (or the ending point b 6= +1) plays
a "disturbing" role. Furthermore we stress the fa
t that "proper" fra
tional
derivatives are non-lo
al operators being expressed by ordinary derivatives of
onvolution integrals with a weakly singular kernel. We note that the fra
tional integrals
ontain a weakly singular kernel only when the order is less
than one.
The dis
rete view-point to fra
tional
al
ulus
In all the above approa
hes in whi
h the fra
tional derivatives are dened as
the left inverse of the
orresponding fra
tional integrals, the fra
tional differentiation is seen as a sort of integration of order : A totally dierent
approa
h arises from the desire to properly generalize the fa
t that ordinary
derivatives are limits of dieren
e quotients. Let T h denote the translation by
a step of length h > 0
T h (x) = (x h) :
(B:7)
The ba
kward nite dieren
e of order is dened as
1
(x kh) ;
k
(B:8)
( 1) : : : ( k + 1)
( + 1)
=
=
:
k
k!
(k + 1) ( k + 1)
(B:9)
h (x)
:= (I
T h ) (x) =
k=0
1)k
( +1)
as k ! 1 :
Grunwald (1867) [39 and Letnikov (1868) [47 developed an approa h to fra tional dierentiation based on the denition
D+ (x) = lim+
h!0
h (x)
:
h
(B:10)
While the arguments of the rst author were rather formal, the latter gave a
rigorous
onstru
tion of the theory of fra
tional integro-dierentiation on the
basis of su
h a denition. Letnikov had in parti
ular shown that thus dened
6
D+ (x)
oin
ides with our Liouville-Weyl fra
tional integral I+ and with our
Abel-Riemann fra
tional integral J under the appropriate interpretation of
the fra
tional dieren
e h (x) : He proved the semigroup property within
the framework of denition (B.10).
Hilfer (1997) [40 has pointed out that there are several possibilities to dene
the limit of the fra
tional nite dieren
e quotient, e.g. point-wise, almost
everywhere, or in the norm of a Bana
h spa
e. The
hoi
e depends upon the
question at hand. Furthermore he notes that eq. (B.8) suggests it is also possible to dene fra
tional derivatives as fra
tional powers of the dierentiation
operator following the approa
h started by Balakrishnan (1958, 1959, 1960)
[6{8 and Westphal (1974) [88. More generally one may
onsider fra
tional
powers of the innitesimal generators of strongly
ontinuous semi-groups.
Finally, a mixed approa
h to the fra
tional
al
ulus, namely
ontaining integrals and nite dieren
es, is to dene the fra
tional derivatives trying to
repla
e with dire
tly in the above Riemann-Liouville fra
tional integrals. However the resulting integrals are divergent (with hyper-singular kernels) and need to be regularized by using the te
hniques of Hadamard's nite
part. This approa
h was su
essfully pursued by Mar
haud (1927) [62. It is
interesting to note that both Liouville and Riemann dealt with the so-
alled
"
omplementary" fun
tions whi
h arise when one attempts to treat fra
tional
dierentiation of order as fra
tional integration of order ; see Samko,
Kilbas & Mari
hev (1993) ([83, p. xxix and Histori
al Notes in x4.1, x9.1).
The plan for the following se
tions
Let us now explain the
ontents of the following se
tions. Se
tions C and D
will be devoted to the
ontinuous view-point to fra
tional
al
uls. In se
tion C
we start from the Liouville-Weyl fra
tional integrals to arrive at the fra
tional
derivatives in the sense of Riesz and Feller. These derivatives are suitable to
generalize the standard diusion equation by repla
ing the se
ond-order spa
e
derivative. In view of this we shall
onsider fun
tions of the spa
e variable x ;
denoted by (x) ; and apply the Fourier transform. In se
tion D we start from
the Abel-Riemann fra
tional integrals to arrive at the fra
tional derivatives
in the sense of Caputo. These derivatives are suitable to generalize the standard diusion equation by repla
ing the rst-order time derivative. In view of
this we shall
onsider fun
tions of the time variable t ; denoted by (t) ; and
apply the Lapla
e transform. In se
tion E we shall provide some details on
the dis
rete view-point to fra
tional
al
ulus based on the Grunwald-Letnikov
dieren
e s
heme and its variants. These s
hemes turn out to be useful in the
interpretation of the spa
e or time fra
tional diusion pro
esses by randomwalk models. Finally se
tions F and G are devoted respe
tively to the spe
ial
fun
tions of the Mittag-leer and Wright type, whi
h play a fundamental role
in our appli
ations of the fra
tional
al
ulus.
7
() = F [(x) =
>
>
>
>
>
>
>
:
(x) = F
+
Z
e +ix (x) dx ;
1
1 Z
b
() =
e ix b() d ;
2 1
i
(C:1)
where 2 R ; denotes the Fourier parameter. In this framework we also
onsider the
lass of pseudo-dierential operators of whi
h the ordinary repeated
integrals and derivatives are spe
ial
ases. A pseudo-dierential operator A,
a
ting with respe
t to the variable x 2 R ; is dened through its Fourier
representation, namely
1
+
Z
(C:2)
(x)
() ; A A :
b
We now
onsider the pseudo-dierential operators represented by the LiouvilleWeyl fra
tional integrals and derivatives. The Liouville-Weyl fra
tional integrals (of order > 0 for a well-behaved fun
tion (x) with x 2 R ) are
dened
8
x
>
1 Z
>
>
>
(x ) 1 ( ) d ; > 0 ;
I+ (x) :=
>
>
() 1
<
(C:4)
+
Z1
>
>
1
>
1
>
>
I (x) :=
( x) ( ) d ; > 0 :
>
:
() x
8
I+ I+ = I++ ; I I = I + ; for all ; 0 :
(C:5)
The Liouville-Weyl fra
tional derivatives (of order > 0) are dened as the
left-inverse operators of the
orresponding Liouville-Weyl fra
tional integrals
(of order > 0), i.e.
D+ I+ = D I = I :
(C:6)
Therefore, introdu
ing the positive integer m su
h that m 1 < m and
re
alling that Dm I+m = I and Dm I m = ( 1)m I ; we have
(Dm I m ) (x) ; if
D (x) = (Dm I m ) (x) ; if
(
m 1 < m ; m odd;
m 1 < m ; m even.
(C:7)
(x) = O jxj
; > 0 ; x ! 1 :
)
jxj + ;
( )
> > 0; x < 0;
>
(
+
)
>
>
>
=
jxj ;
: D+ jxj
( )
I+ jxj =
and
8
>
<
I+ e x =
>
:
D e
x
+
e x ;
e x ;
> 0; x 2 R:
(C:8)
(C:9)
I
>
:
(i)
(i)
(C:10)
I (x)
0
Z
I+ (x) + I (x)
1
=
jx j 1 ( ) d ; (C:11)
=
2
os(=2)
2 ()
os(=2) 1
+
for any positive with the ex
lusion of odd integer numbers for whi
h
os(=2) vanishes. Using (C.10-11) the symbol of the Riesz potential turns
out to be
I0 jj ;
> 0 ; 6= 1 ; 3 ; 5 : : : :
(C:12)
In fa
t
I+ + I
"
1
(+i) + ( i) 2
os(=2)
1
=
+
=
( i) (+i)
jj
jj :
We note that, at varian
e with the Liouville-Weyl fra
tional integral, the Riesz
potential has the semigroup property only in restri
ted ranges, e.g.
(C:13)
D+ (x) + D (x) if 6= 1 ;
2
os(=2)
D H (x) ;
if = 1 ;
(C:14)
1 Z ( )
1 Z (x )
H (x) :=
d =
d ;
1x
1
+
(C:15)
the integral understood in the Cau
hy prin
ipal value sense. In
identally, we
note that H 1 = H : By using the rule (C.3) we
an derive the symbol of
H ; namely
HH
= i sign :
(C:16)
The expressions in (C.14)
an be easily veried by manipulating with symbols
10
D
0
:= I0
jj
8
>
>
<
=>
( i) + (+i) =
2
os(=2)
jj ;
>
:
if 6= 1 ;
jj ;
if = 1 :
1 d2
1
d2
d2
d
D02 = D+2 + D2 =
+
=
; but D01 6= :
2
2
2
2
2 dx dx
dx
dx
We also re
ognize that the symbol of D0 is just the logarithm of the
hara
teristi
fun
tion of a symmetri
Levy stable pdf .
In general, the Riesz fra
tional derivative D0 turns out 2 to be related to the
=2-power of the positive denite operator D2 = dxd 2 sin
e, as noted by
Feller (1952) [23,
jj
=2
D
0
d2
dx2
=2
(C:17)
whereas the two Liouville-Weyl fra
tional derivatives are related to the power of the rst order dierential operator D = dxd : We note that it was
Bo
hner (1949) [11 who rst introdu
ed the fra
tional powers of the Lapla
ian
to generalize the diusion equation.
We would like to mention the "illuminating" notation introdu
ed by Zaslavsky,
see e.g. Sai
hev & Zaslavsky (1997) [81, to denote our Liouville-Weyl and
Riesz fra
tional derivatives
D =
d
= d ; 0 < 2:
;
D
0
d(x)
djxj
(C:18)
We now point out that other expressions for D and hen
eforth D0 are obtained by "regularizing" the hyper-singular integrals I for 0 < 2 :
This "regularization", based on a former idea by Mar
haud, see e.g. Mar
haud (1927) [62, Samko, Kilbas & Mari
hev (1993) [83, Hilfer (1997) [40,
is noteworthy sin
e it leads to a dis
retization of the operators of fra
tional
derivative, alternative to that based on the Grunwal-Letnikov method.
Let us rst
onsider from (C.7) the operator
D+ := I+ :=
d 1
I ; 0 < < 1:
dx +
(C:19)
D+ (x) := I+ (x) =
d 1
I (x)
dx +
x
d Z
(x ) ( ) d
=
(1 ) dx 1
1
1
d Z
(x ) d
=
(1 ) dx 0
1
(1 )
0 (x
)
1+
d d ;
(x) =
(1 )
(x) (x )
d ; 0 < < 1 :
1+
(C:20)
Here 0 denotes the rst derivative of with respe
t to its argument. The
oe
ient in front to the integral in (C.20)
an be re-written, using known
formulas for the Gamma fun
tion, as
(1 )
( )
= (1 + )
sin
:
(C:21)
D := I
d 1
I ; 0 < < 1;
dx
(x + ) (x)
d ; 0 < < 1 :
(1 ) 0
1+
Similar results
an be given for 1 < < 2 :
D
(x) =
(C:22)
(C:23)
D0 (x) :=
D+ (x) + D (x)
; 0 < < 1; 1 < < 2;
2
os(=2)
and using (C.20), (C.23), we get for it the following regularized representation,
valid also in = 1 ;
D (x)
0
sin (=2)
= (1+)
12
A generalization of the Riesz fra
tional integral and derivative has been proposed by Feller (1952) [23 in a pioneering paper, re
alled by Samko, Kilbas
& Mari
hev (1993) [83, but only re
ently revised and used by Goren
o &
Mainardi (1998) [34. The purpose of Feller was indeed to generalize the se
ond order spa
e derivative entering the standard diusion equation with a
pseudo-dierential operator whose symbol is the logarithm of the
hara
teristi
fun
tion of a general Levy stable pdf a
ording to his his parameterization,
whi
h is
loser to ours.
Let us now show how obtain the Feller derivative by inversion of a properly
generalized Riesz potential, later
alled Feller potential by Samko, Kilbas &
Mari
hev (1993) [83. Using our notation we dene the Feller potential I by
its symbol obtained by the Riesz potential by a suitable "rotation" of an angle
=2 where is a real number properly restri
ted. We have
I
jj
i (sign ) =2 ;
jj
jj 2
if 0 < < 1 ;
if 1 < 2 :
(C:25)
+ (; ) =
sin [( ) =2
;
sin ( )
(; ) =
sin [( + ) =2
;
sin( )
(C:27)
(C:28)
+ (; 0) = (; 0) =
1
;
2
os (=2)
(C:29)
and thus, from (C.26) and (C.29) we re
over the Riesz potential (C.11). Like
the Riesz potential also the Feller potential has the (range-restri
ted) semigroup property, e.g.
(C:30)
D := I
0 < 2;
(C:31)
D (x) := >
:
+ (; ) D+ + (; ) D (x) ; if 6= 1 ;
if = 1 :
(C:32)
(C:36)
(C:37)
In view of the relation of the Feller operators in the framework of stable probability density fun
tions, we agree to refer to as to the skewness parameter.
We must note that in his original paper Feller (1952) used a skewness parameter dierent from our ; the potential introdu
ed by Feller is
2
; =
: (C:38)
2
Then Samko, Kilbas & Mari
hev (1993) named I as the Feller potential
operator. We note that Feller
onsidered the inversion of his potential for
= 1 but limiting himself to the symmetri
ase ( = = 0) for whi
h
he provided the representation as the rst derivative of the Hilbert transform.
Samko, Kilbas & Mari
hev (1993) apparently ignored the singular
ase = 1 :
I
jj e i (sign )
; so =
14
8
>
>
e
>
>
>
<
(s) = L [ (t) =
>
>
>
>
>
:
(t) = L
e st (t) dt ;
1 Z st e
(s) =
e (s) ds ;
2i Br
(D:1)
1
(t) :=
()
(t )
( ) d ; t > 0 > 0 :
(D:2)
J J = J + ; for all ; 0 :
(D:3)
The A-R fra
tional derivative (of order > 0) is dened as the left-inverse
operator of the
orresponding A-R fra
tional integral (of order > 0), i.e.
D J = I :
(D:4)
dm
1
m
D (t) := > (m ) dt
>
>
dm
>
:
(t) ;
dtm
( )
(t )+1
d ; m 1 < < m ;
= m:
15
(D:5)
(
+ 1)
+
t ;
(
+ 1 + )
>
(
+ 1)
>
>
>
t ;
:D t =
(
+ 1 )
J t =
t > 0; 0; > 1:
(D:6)
D 1 =
t
; 0; t > 0:
(1 )
(D:7)
This, of
ourse, is 0 for 2 N, due to the poles of the gamma fun
tion in
the points 0; 1; 2; : : :.
The Caputo fra
tional derivative
We now observe that an alternative denition of fra
tional derivative, originally introdu
ed by Caputo (1967) (1969) in the late sixties and adopted by
Caputo & Mainardi (1971) in the framework of the theory of linear vis
oelasti
ity, is D = J m Dm with m 1 < m ; namely
8
>
>
>
>
<
Z
(m)
1
( )
+1
D (t) := > (m ) 0 (t )
>
>
dm
>
:
(t) ;
dtm
d ;
m 1 < < m;
(D:8)
= m:
The denition (D.8) is of
ourse more restri
tive than (D.5), in that it requires
the absolute integrability of the derivative of order m. Whenever we use the
operator D we (ta
itly) assume that this
ondition is met. We easily re
ognize
that in general
D (t) := Dm J m
(D:9)
unless the fun
tion (t) along with its rst m 1 derivatives vanishes at t = 0+ .
In fa
t, assuming that the passage of the m-derivative under the integral is
16
D (t) = D (t) +
m
X1
k=0
(k
tk
( )
+ 1)
(0+ ) ;
(D:10)
and therefore, re
alling the fra
tional derivative of the power fun
tions, see
(D.6),
!
m
X1 tk
(k )
+
(0 ) = D (t) :
(D:11)
(t)
D
k
!
k=0
The subtra
tion of the Taylor polynomial of degree m 1 at t = 0+ from
(t) means a sort of regularization of the fra
tional derivative. In parti
ular,
a
ording to this denition, the relevant property for whi
h the fra
tional
derivative of a
onstant is still zero
an be easily re
ognized,
D 1 0 ; > 0 :
(D:12)
We now explore the most relevant dieren
es between the two fra
tional
derivatives (D.5) and (D.8). We agree to denote (D.8) as the Caputo fra
tional derivative to distinguish it from the standard A-R fra
tional derivative
(D.5). We observe, again by looking at (D.6), that D t 1 0 ; > 0 ; t > 0 :
We thus re
ognize the following statements about fun
tions whi
h for t > 0
admit the same fra
tional derivative of order ; with m 1 < m ; m 2 N ;
= D (t)
() (t) = (t) +
D (t) = D (t)
() (t) = (t) +
(t)
j =1
m
j =1
j t j ;
(D:13)
j tm j ;
(D:14)
For the two denitions we also note a dieren
e with respe
t to the formal
limit as ! (m 1)+ ; from (D.5) and (D.8) we obtain respe
tively,
D (t) ! Dm J (t) = Dm
D (t) ! J Dm (t) = Dm
(t)
(t) ;
m
1)
(D:15)
(0+ ) :
(D:16)
We now
onsider the Lapla
e transform of the two fra
tional derivatives. For
the A-R fra
tional derivative D the Lapla
e transform, assumed to exist,
requires the knowledge of the (bounded) initial values of the fra
tional integral J m and of its integer derivatives of order k = 1; 2; : : : ; m 1 : The
orresponding rule reads, in our notation,
D (t) s fe(s)
mX1
k=0
Dk J (m
(0+ ) sm
17
k;
m 1 < m : (D:17)
For the Caputo fra
tional derivative the Lapla
e transform te
hnique requires
the knowledge of the (bounded) initial values of the fun
tion and of its integer
derivatives of order k = 1; 2; : : : ; m 1 ; in analogy with the
ase when = m :
In fa
t, noting that J D = J J m Dm = J m Dm ; we have
J D (t) = (t)
m
X1
k=0
( )
(0+ )
tk
;
k!
(D:18)
D (t) s e(s)
m
X1
k=0
( )
(0+ ) s
k;
m 1 < m:
(D:19)
Indeed the result (D.19), rst stated by Caputo (1969) [13, appears as the
"natural" generalization of the
orresponding well known result for = m :
Goren
o & Mainardi (1997) [33 have pointed out the major utility of the
Caputo fra
tional derivative in the treatment of dierential equations of fra
tional order for physi
al appli
ations. In fa
t, in physi
al problems, the initial
onditions are usually expressed in terms of a given number of bounded values
assumed by the eld variable and its derivatives of integer order, despite the
fa
t that the governing evolution equation may be a generi
integro-dierential
equation and therefore, in parti
ular, a fra
tional dierential equation.
d
(x) (x h)
(x) = (1) (x) = hlim
:
!0
dx
h
Applying this rule twi
e gives the se
ond-order derivative
(1) (x) (1) (x h)
d2
(2)
(
x
)
=
(
x
)
=
lim
h!0
dx2
h
(
)
1 (x) (x h) (x h) (x 2h)
= hlim
!0 h
h
h
(x) 2(x h) + (x 2h)
= hlim
:
!0
h2
We then obtain
d3
(x) 3(x h) + 3(x 2h) (x 3h)
(x) = (3) (x) = hlim
:
3
!
0
dx
h3
and, by indu
tion,
18
Dn (x) =
1
dn
(x) = (n) (x) = hlim
n
!0 hn
dx
k=0
1)k
n
(x kh) : (E:1)
k
Ian+ (x)
= hlim
!0
hn
xX
a)=h
k=0
1)k
n
(x kh) ;
k
(E:2)
for k = 1; 2; : : :
(E:3)
with
(
1)k
n(n + 1) : : : (n + k
n
=
k
k!
1)
We have impli
itly assumed that (x a)=h is an integer. We then note that the
n-th repeated integral is again a weighted sum of the fun
tions's values, but
that the length of the sum tends to innity as h ! 0 : The weights are again
dened by binomial
oe
ients, but they are all positive. In this framework
we also re
ognize the formal identities Ian+ = D n ; or Dn = Ia+n :
The denition of the Grunwald-Letnikov fra
tional derivative is an extension
of (E.1) to any real positive order , namely
1
GL Da+ (x) = hlim
!0 h
xX
a)=h
[(
k=0
( 1)k
(x kh) ; a < x < b : (E:4a)
k
1
(x) = hlim
!0 h
bX
x)=h
[(
k=0
1)k
(x + kh) ; a < x < b : (E:4b)
k
In eqs (E.4) the [ denotes the integer part. In analogy with the RiemannLiouville fra
tional
al
ulus we may refer to (E.4a) and (E.4b) as the progressive and regressive Grunwald-Letnikov fra
tional derivative, respe
tively.
For our future purposes it is
onvenient to introdu
e a general notation to denote the (nite or innite) series of the ba
kward/forward dieren
e quotients
entering the limit in the above denitions, namely
19
1 X
(x kh) ;
( 1)k
h :=
h k=0
k
where the upper limit of the sum is the appropriate one.
(E:5)
Under
ertain
onditions one
an prove the following
onne
tions with the
Riemann-Liouville fra
tional integrals and derivatives, (B.2-3) and (B.6), for
a < x < b;
Z
1
=
()
GL Da+
GL Db
(x)
and
1
()
(x) =
GL Da+ (x) =
(E:6a)
(E:6b)
(E:7a)
(
GL
0+
(t) =
mX1
k=0
(k
tk
Z
(m)
( )
1
+
+ 1)
(m ) 0 (t ) +1
d :
(E:8)
We note that the Mittag-Leer type fun
tions, being ignored in the
ommon
books on spe
ial fun
tions, are unknown to the majority of s
ientists. Even in
the 1991 Mathemati
s Subje
t Classi
ation these fun
tions
annot be found.
However, in the new AMS
lassi
ation foreseen for the year 2000, a pla
e for
them has been reserved: 33E12 ("Mittag-Leer fun
tions").
A des
ription of the most important properties of these fun
tions with relevant
referen
es
an be found in the third volume of the Bateman Proje
t [21, in
the
hapter XV III of the mis
ellaneous fun
tions. The treatises where great
attention is devoted to them are those by Dzherbashian [19, [20. We also
re
ommend the
lassi
al treatise on
omplex fun
tions by Sansone & Gerretsen
[84 and the re
ent book on fra
tional
al
ulus by Podlubny [74.
Sin
e the times of Mittag-Leer several s
ientists have re
ognized the importan
e of the Mittag-Leer type fun
tions, providing interesting mathemati
al
and physi
al appli
ations, whi
h unfortunately are not mu
h known.
As pioneering works of mathemati
al nature in the eld of fra
tional integral
and dierential equations, we like to quote those by Hille & Tamarkin [42
and Barret [9. In 1930 Hille & Tamarkin have provided the solution of the
Abel integral equation of the se
ond kind in terms of a Mittag-Leer fun
tion,
whereas in 1954 Barret has expressed the general solution of the linear fra
tional dierential equation with
onstant
oe
ients in terms of Mittag-Leer
fun
tions.
As former appli
ations in physi
s we like to quote the
ontributions by Cole
in 1933 [16 in
onne
tion with nerve
ondu
tion, see also [17, and by Gross
[38 in 1947 in
onne
tion with me
hani
al relaxation. Subsequently, in 1971,
Caputo & Mainardi [14 have shown that Mittag-Leer fun
tions are present
whenever derivatives of fra
tional order are introdu
ed in the
onstitutive
equations of a linear vis
oelasti
body. Sin
e then, several other authors have
pointed out the relevan
e of these fun
tions for fra
tional vis
oelasti
models,
see e.g. Mainardi [57.
21
The Mittag-Leer fun
tion E (z ) with > 0 is dened by the following series
representation, valid in the whole
omplex plane,
E (z ) :=
n=0
zn
; > 0; z 2 C:
(n + 1)
(F:1)
E2 +z 2 = osh z ;
E2
z 2 = os z ;
z 2 C;
(F:2)
and
(F:3)
where erf (erf
) denotes the (
omplementary) error fun
tion dened as
2
erf (z ) := p
2
e u du ; erf
(z ) := 1 erf (z ) ; z 2 C :
(F:4)
In (F.4) by z 1=2 we mean the prin
ipal value of the square root of z in the
omplex plane
ut along the negative real semi-axis. With this
hoi
e z 1=2
turns out to be positive/negative for z 2 R+ . A straightforward generalization
of the Mittag-Leer fun
tion, originally due to Agarwal in 1953 based on a
note by Humbert, see [3, [44, [45, is obtained by repla
ing the additive
onstant 1 in the argument of the Gamma fun
tion in (F.1) by an arbitrary
omplex parameter : For the generalized Mittag-Leer fun
tion we agree to
use the notation
E; (z ) :=
n=0
zn
; > 0; 2 C; z 2 C:
(n + )
(F:5)
sinh (z 1=2 )
:
(F:6)
z
z 1=2
We note that E; (z ) is still an entire fun
tion of order = 1= and type 1 :
For la
k of spa
e we prefer to
ontinue with the Mittag-Leer fun
tions in one
parameter: sin
e here we shall limit ourselves to
onsider evolution pro
esses
E1;2 (z ) =
; E2;2 (z ) =
22
hara
terized by a single fra
tional order, the more general fun
tions with
two parameters turn out to be redundant. However, we nd it
onvenient to
introdu
e other fun
tions depending on a single parameter whi
h turn out to
be related by simple relations to the original Mittag-Leer fun
tions, and to
onsider them as belonging to the
lass of Mittag-Leer type fun
tions.
The Mittag-Leer integral representation and asymptoti
expansions
E (z ) =
1 Z 1 e
d ; > 0 ; z 2 C ;
2i Ha z
(F:7)
where the path of integration Ha (the Hankel path) is a loop whi
h starts and
ends at 1 and en
ir
les the
ir
ular disk j j jz j1= in the positive sense:
arg on Ha : To prove (F.7), expand the integrand in powers of
, integrate term-by-term, and use Hankel's integral for the re
ipro
al of the
Gamma fun
tion.
The integrand in (F.7) has a bran
h-point at = 0. The
omplex -plane is
ut
along the negative real semi-axis, and in the
ut plane the integrand is singlevalued: the prin
ipal bran
h of is taken in the
ut plane. The integrand has
poles at the points m = z 1= e2 i m= ; m integer, but only those of the poles
lie in the
ut plane for whi
h < argz + 2 m < : Thus, the number
of the poles inside Ha is either [ or [ + 1, a
ording to the value of arg z .
The most interesting properties of the Mittag-Leer fun
tion are asso
iated
with its asymptoti
developments as z ! 1 in various se
tors of the
omplex
plane. These properties
an be summarized as follows. For the
ase 0 < < 2
we have
E (z )
1
exp(z 1= )
k=1
z k
;
k=1 (1 k )
For the
ase 2 we have
E (z )
E (z )
z k
;
(1 k)
exp z 1= e2 i m=
k=1
z k
;
(1 k)
jzj ! 1 ;
(F:10)
where m takes all integer values su
h that =2 < arg z +2 m < =2 ; and
arg z
an assume any value between and + in
lusive. From the asymptoti
properties (F.8-10) and the denition of the order of an entire fun
tion, we infer
that the Mittag-Leer fun
tion is an entire fun
tion of order 1= for > 0;
23
in a
ertain sense ea
h E (z ) is the simplest entire fun
tion of its order. The
Mittag-Leer fun
tion also furnishes examples and
ounter-examples for the
growth and other properties of entire fun
tions of nite order.
The Lapla
e transform pairs related to the Mittag-Leer fun
tions
The Mittag-Leer fun
tions are
onne
ted to the Lapla
e integral through
the equation
Z1
1
; > 0:
(F:11)
e u E (u z ) du =
1 z
0
The integral at the L.H.S. was evaluated by Mittag-Leer who showed that
the region of its
onvergen
e
ontains the unit
ir
le and is bounded by the
line Re z 1= = 1. Putting in (F.11) u = st and u z = t with t 0 and
2 C ; and using the sign for the juxtaposition of a fun
tion depending
on t with its Lapla
e transform depending on s, we get the following Lapla
e
transform pairs
s 1
; Re s > jj1= :
(F:12)
s +
In our CISM Le
ture notes [33 we have shown the key role of the Mittag-Leer
type fun
tions E ( t ) in treating Abel integral equations of the se
ond
kind and fra
tional dierential equations, so improving the former results by
Hille & Tamarkin (1930) [42 and Barret (1954) [9, respe
tively. In parti
ular,
assuming > 0 ; we have dis
ussed the pe
uliar
hara
ters of these fun
tions
(power-law de
ay) for 0 < < 1 and for 1 < < 2 related to fra
tional
relaxation and fra
tional os
illation pro
esses, respe
tively, see also [56, [32.
E ( t )
E (z ) =
1 pX1
E=p z 1=p ei2h=p ; p 2 N ;
p h=0
(F:13)
x2 =(4t) E (x ) dx =
24
t E=2 (t=2 ) ; t > 0 :
(F:15)
Let us rst re
all the more general Wright fun
tion W; (z ) ; z 2 C ; with
> 1 and > 0 : This fun
tion, so named from the British mathemati
ian
who introdu
ed it between 1933 and 1940 [92{95 is dened by the following
series and integral representation, valid in the whole
omplex plane,
W; (z ) :=
zn
1 Z + z
:=
e
2i Ha
n=0 n! (n + )
X
d
:
(G:1)
M (z ) := W
;1 (
z) =
1
W
z
;0 (
z) ; 0 < < 1 ;
(G:2)
M (z ) :=
n=0
1 Z
( z )n
:=
e
n! [ n + (1 ) 2i Ha
z d :
1
(G:3)
dq 1
( 1)q
M
(
z
)
+
z M1=q (z ) = 0 ;
1
=q
dz q 1
q
(G:6)
( 1)h
[(h + 1)=q sin[ (h + 1)=q ; h = 0; 1; : : : q
25
2 : (G:7)
M (r= ) a( ) r
where
1=2
exp
b( ) r 1
; r ! +1 ;
(G:8)
1
1
> 0 ; b( ) =
> 0:
(G:9)
2 (1 )
Be
ause of the above exponential de
ay, any moment of order > 1 for
M (r) is nite and results
a( ) = q
r M (r) dr =
( + 1)
; > 1:
( + 1)
(G:9)
The following Lapla e transform pairs an be proved, see Mainardi (1997) [57,
M (r)
and
t +1
E ( s) ;
M (1=t )
0 < < 1:
exp ( s ) ;
(G:10)
0 < < 1;
(G:11)
1
M (1=t ) s1 exp ( s ) ; 0 < < 1 ;
(G:12)
t
As a parti
ular
ase of (G.10) we re
over the well-known Lapla
e transform
pair, see e.g. Doets
h (1974),
M1=2 (r) :=
p1 exp
r2 =4
(G:13)
We also note that, transforming term-by-term the Taylor series of M (r) (not
being of exponential order) yields a series of negative powers of s ; whi
h
represents the asymptoti
expansion of E ( s) as s ! 1 in a se
tor around
the positive real axis. As parti
ular
ases of (G.11-12) we re
over the wellknown Lapla
e transform pairs, see e.g. Doets
h (1974) [18 ,
1
1
1=2
3=2
2
1=2
p
; (G:14)
M
(1
=t
))
:=
t
exp
1
=
(4
t
)
exp
s
1
=
2
2t3=2
2
1 1=2
1
1=2
2
1=2
1=2
p
M
(1
=t
))
:=
: (G:15)
t
exp
1
=
(4
t
)
s
exp
s
t1=2 1=2
26
Referen
es
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[Norwegian, Magazin for Naturvidenskaberne , Aargang 1, Bind 2, Christiana
1823. Fren
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par L. Sylow et S. Lie, 1881.
[2 N.H. Abel, Au
oesung einer me
hanis
hen Aufgabe, Journal fur die reine und
angewandte Mathematik (Crelle), Vol. I (1826), pp. 153-157.
[3 R.P. Agarwal, A propos d'une note de M. Pierre Humbert, C.R. A
ad. S
i. Paris
236 (1953) 2031{2032.
[4 Yu.I. Babenko, Heat and Mass Transfer (Chimia, Leningrad, 1986) [in Russian
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tional Dieren
ing and Long Memory
Pro
esses, Journal of E
onometri
s 73 No 1 (1996) 1-324.
[6 A.V. Balakrishnan, Representation of abstra
t Riesz potentials of the ellipti
type, Bull. Amer. Math. So
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[7 A.V. Balakrishnan, Operational
al
ulus for innitesimal generators of semigroups, Trans. Amer. Math. So
. 91 No 2 (1959) 330-353.
[8 A.V. Balakrishnan, Fra
tional powers of
losed operators and the semi-groups
generated by them, Pa
i
J. Math. 10 No 2 (1960) 419-437.
[9 J.H. Barret, Dierential equations of non-integer order, Canad. J. Math. 6 (1954)
529{541.
[10 C.M. Bender and S.A. Orszag, Advan
ed Mathemati
al Methods for S
ientists
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Graw-Hill, Singapore, 1987), Ch 3.
[11 S. Bo
hner, Diusion equation and sto
hasti
pro
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S
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[13 M. Caputo, Elasti
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tals and Fra
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hani
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tri
al
ondu
tan
e of biologi
al systems in Pro
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[17 H.T. Davis, The Theory of Linear Operators (The Prin
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Indiana, 1936).
27
[18 G. Doets
h, Introdu
tion to the Theory and Appli
ations of the Lapla
e
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[19 M.M. Dzherbashian, Integral Transforms and Representations of Fun
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(M
Graw-Hill, New York, 1953-195).
[23 W. Feller, On a generalization of Mar
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generated by them, Meddelanden Lunds Universitets Matematiska Seminarium
(Comm. Sem. Mathem. Universite de Lund), Tome suppl. dedie a M. Riesz, Lund
(1952), 73-81.
[24 W. Feller : An Introdu
tion to Probability Theory and its Appli
ations, Vol. 2,
2nd edn (Wiley, New York, 1971). [1st edn. 1966
[25 C. Fox, The G and H fun
tions as symmetri
al Fourier kernels, Trans. Amer.
Math. So
. 98 (1961) 395-429.
[26 I.M. Gel'fand and G.E. Shilov, Generalized Fun
tions, Vol. 1 (A
ademi
Press,
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ow, 1959)
[27 R. Goren
o, Abel Integral Equations with spe
ial Emphasis on Appli
ations ,
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tures in Mathemati
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al S
ien
es, 1996). [ISSN 0919-8180
[28 R. Goren
o, Fra
tional
al
ulus: some numeri
al methods, in: A. Carpinteri
and F. Mainardi, eds, Fra
tals and Fra
tional Cal
ulus in Continuum Me
hani
s
(Springer Verlag, Wien, 1997) 277-290.
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[ < http://xxx.lan.gov/abs/
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[ < http://www.e
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s.org >: sele
t "papers" and then "mainardi"
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