On the Kolmogorov forward equations within Caputo and Riemann-Liouville fractions derivatives

Abstract

In this work, we focus on the fractional versions of the well-known Kolmogorov forward equations. We consider the problem in two cases. In case 1, we apply the left Caputo fractional derivatives for alpha is an element of (0, 1] and in case 2, we use the right Riemann-Liouville fractional derivatives on R+, for alpha is an element of (1, + infinity). The exact solutions are obtained for the both cases by Laplace transforms and stable subordinators.