Caputo Evolution Equations with time-nonlocal initial condition

Consider the Caputo evolution equation (EE) $\partial_t^\beta u =\Delta u$ with initial condition $\phi$ on $\{0\}\times\mathbb R^d$, $\beta\in(0,1)$. As it is well known, the solution reads $u(t,x)=\mathbf E_x[\phi(B_{E_t})]$. Here $B_t$ is a Brownian motion and the independent time-change $E_t$ is an inverse $\beta$-stable subordinator. The fractional kinetic $B_{E_t}$ is a popular model for subdiffusion \cite{Meerschaert2012}, with remarkable universality properties \cite{BC11,Hai18}.\\
We substitute the Caputo fractional derivative $\partial_t^\beta$ with the Marchaud derivative. This results in a natural extension of the Caputo EE featuring a \emph{time-nonlocal initial condition} $\phi$ on $(-\infty,0]\times\mathbb R^d$. We derive the new stochastic representation for the solution, namely $u(t,x)=\mathbf E_x[\phi(-W_t,B_{E_t})]$. This stochastic representation has a pleasing interpretation due to the non-obvious presence of $W_t$, elucidating the notion of time-nonlocal initial conditions. Here $W_t$ denotes the waiting/trapping time of the fractional kinetic $B_{E_t}$. We discuss classical-wellposedness \cite{T18}, and time permitting weak-wellposedness \cite{DYZ17,DTZ18} for the respective extensions of Caputo-type EEs (such as in \cite{chen,HKT17}).

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