Professional Documents
Culture Documents
xuru.org
xuru@xuru.org
July 31, 2006
Abstract
Our understanding of Nature relies on calculus, which in turn relies
on the intuitive concept of the derivative. Its descriptive power comes
from the fact that it analyses the behavior at scales small enough that
its properties change linearly, so avoiding complexities that arise at
larger ones. Fractional Calculus generalizes this concept from integer to
non-integer order. Despite it seems not to have significant applications
in fundamental physics, research on this core concept could be valuable
in understanding Nature. These notes comprise an introduction to the
field.
Introduction
h0
f (x + h) f (x)
h
(1.1)
1 Introduction
where
n
n!
=
m
m!(n m)!
(1.3)
or equivalently,
n
D f (x) = lim h
h0
n
X
m=0
n
f (x mh)
(1)
m
m
(1.4)
(a + b) =
n
X
n
m=0
anm bm
(1.6)
X
n=0
( + 1)
an bn
n! ( n + 1)
(1.7)
|b| < a
(1.8)
which is convergent if
There are some desirable properties that could be required to the fractional derivative,
1. Existance and continuity for m times derivable functions, for any n
which modulus is equal or less than m.
2 Exponentials
2. For n = 0 the result should be the function itself; for n > 0 integer
values it should be equal to the ordinary derivative and for n < 0
integer values it should be equal to ordinary integration -regardless
the integration constant.
3. Iterating should not give problems,
D + f (x) = D D f (x)
(1.9)
(1.10)
4. Linearity,
(1.11)
Exponentials
The case of the exponential function is specially simple and gives some clues
about the generalization of the derivatives. Following (1.2),
ax
D e
a(x+(n)h)
= lim h
(1)
e
=
h0
n
n=0
X
ax
n
= e lim h
(1)
(eah )n =
h0
n
ax
=e
lim h
h0
ax
n=0
ah
(e
1) =
=a e
(2.1)
the above limit exists for any complex number . However, it should be
noted that in the substitution of the binomial formula a natural number
has been considered. We shall deal with this problem later to get our first
generalization of the derivative. Applying this to the imaginary unit,
D cos(x) + i D sin(x) = D eix = i eix =
i
2
eix = ei(x+ 2 ) =
= cos x +
+ i sin x +
2
2
=e
(2.2)
2 Exponentials
and
D cos(x) i D sin(x) = D eix = (i) eix =
i
2
eix = ei(x+ 2 ) =
i sin x +
= cos x +
2
2
=e
(2.3)
solving this system we have the next definition for the sine and cosine derivatives,
D sin(x) = sin x +
(2.4)
2
and
D cos(x) = cos x +
2
(2.5)
We could expect these relations for the sine and cosine derivatives to be
maintained in the generalization of the derivative.
Applying the above method we also can calculate the following,
D cos(ax) + i D sin(ax) = D eiax = (ai) eiax =
i
2
eiax = a ei(ax+ 2 ) =
= a cos ax +
+ ia sin ax +
2
2
(2.6)
= a e
and
D cos(ax) i D sin(ax) = D eiax = (ai) eiax =
= a e
i
2
eiax = a ei(ax+ 2 ) =
= a cos ax +
ia sin ax +
2
2
(2.7)
Thus,
D sin(ax) = a sin ax +
2
(2.8)
D cos(ax) = a cos ax +
2
(2.9)
and
3 Powers
Indeed, the above result of the exponential can be applied to any function
that can be expanded in exponentials
f (x) =
an einx =
n=
= D f (x) =
an D einx =
n=
an n e
i
2
an (ni) einx =
n=
X
inx
n=
an n ei(nx+
)
2
(2.10)
n=
X
einx
f (t)eint dt =
f (x) =
2
n=
X
n ei(nx+ 2 )
= D f (x) =
f (t)eint dt
2
n=
(2.11)
This method can be useful for calculating fractional derivatives of trigonometric functions.
Powers
The case of powers of x also has some simplicity that allows its generalization. The case of integer order derivatives
D 1 xa = axa1 = D n xa = xan
n1
Y
(a m) =
m=0
a!
xan
(a n)!
(3.1)
(a + 1)
xa
(a + 1)
(3.2)
an xn =
n=
= D f (x) =
an D xn =
n=
an
n=
(n + 1)
xn
(n + 1)
(3.3)
4 Binomial Formula
X
D n f (a) n
x =
n!
n=0
= D f (x + a) =
X
n=0
D n f (a)
xn
(n + 1)
(3.4)
1 X n f (t + a)
x
dt =
2i n=
tn+1
C
= D f (x + a) =
(n + 1)
f (t + a)
1 X
dt
xn
2i n= (n + 1)
tn+1
C
(3.5)
This can be an useful tool for calculating fractional derivatives. However, we should compare these results of powers with the previous results of
exponentials to see if they agree. With the result of exponentials (2.1),
D eax = a eax = a
X
X
an+ xn
(ax)n
=
n!
n!
(3.6)
n=0
n=0
X
X
(ax)n
an xn
=
n!
(n + 1)
n=0
(3.7)
n=0
If we compare both results, we see that they only agree for integer values
of . We shall see later where these discrepancies come from, and how they
can be avoided.
Binomial Formula
(4.1)
d h f (x) = f (x + h)
(4.2)
what allows the application of the binomial formula (1.6) for natural numbers and the generalized binomial formula (1.7) for complex numbers,
n
X
n
f (x + (n m)h) =
D f (x) = lim h
(1)
h0
m
m=0
n
X
n
m n
= lim h
(1)
d nm f (x) =
h0
m h
m=0
dh 1 n
= lim
f (x)
h0
h
n
D f (x) = lim
f (x)
h0
h
(4.3)
(4.4)
This sheds more light on the derivative and its generalization. Using the
expression of the generalized binomial formula (1.7) for non-integer numbers,
dh 1
D f (x) = lim
f (x) =
h0
h
X
( + 1)
= lim h
(1)n d hn f (x) =
h0
n! ( n + 1)
= lim h
h0
n=0
(1)n
n=0
( + 1)
f (x + ( n)h)
n! ( n + 1)
(4.5)
In the case of integer values the summatory only extends terms and it
is equal to the ordinary derivative.
Finally, it is obvious that as h goes to 0 the last equation is equivalent
to the following
D f (x) = lim h
h0
(1)n
n=0
( + 1)
f (x nh)
n! ( n + 1)
(4.6)
It is worth to mention that being (4.4) the expression of the -st derivative
of a function the derivative itself is
D = lim
h0
dh 1
h
(5.1)
an x
= g(D)f (x) =
n=
an D n f (x)
(5.2)
n=
The result is a weighted sum of different order derivatives. These functions of the derivative are usually known as formal differential operators.
As an example, the exponential of the derivative applied to the exponential
would give the following result that could be valuable for calculating functions of the derivative when both f and g can be expanded in exponentials
eax =
X
an xn
=
n!
n=0
= eaD ebx =
X
X
an bn ebx
an D n ebx
=
= eab ebx = eb(x+a) (5.3)
n!
n!
n=0
n=0
an x
f (x) =
n=0
bn xn =
n=0
= g(D)f (x) =
=
=
=
=
X
n=0
X
n=0
X
n=0
X
n=0
X
l=0
an D
bm x
m=0
an
an
an
xl
l!
bm
m=0
an
n=0
bm D n xm =
m=0
(m + 1)
xmn =
(m n + 1)
bl+n
l=n
bl+n
l=0
(l + n + 1) l
x =
(l + 1)
(l + n)! l
x =
l!
(l + n)! an bl+n
(5.4)
n=0
Thus,
g(D)f (x) =
cn xn
n=0
1 X
cn =
(n + m)! am bn+m
n!
(5.5)
m=0
At a first glance this seems not very interesting, but interesting properties
could be hidden under this apparent mess. We shall return later to this point
with the help of other tools.
6 Grunwald-Letnikov Derivative
Grunwald-Letnikov Derivative
Grunwald-Letnikov derivative or also named Grunwald-Letnikov differintegral, is a generalization of the derivative analogous to our generalization by
the binomial formula (4.6), but it is based on the direct generalization of the
equation (1.4). The idea behind is that h should approach 0 as n approaches
infinity,
n
X
n
n
m n
D f (x) = lim h
(1)
f (x mh) =
h0
m
= lim hn
h0
= lim hn
h0
m=0
n
X
m=0
(1)m
n!
f (x mh) =
m! (n m + 1)
(1)m
n!
f (x mh) =
m! (n m + 1)
(1)m
n!
f (x mh)
m! (n m + 1)
m=0
xa
= lim hn
h0
h
X
m=0
(6.1)
D f (x) = lim h
h0
h
X
(1)m
m=0
( + 1)
f (x mh)
m! ( m + 1)
(6.2)
or equivalently,
D f (x) = lim
n
xa
X
n
m=0
!
( + 1)
xa
(1)
f xm
m! ( m + 1)
n
m
(6.3)
These generalizations have the inconvenient that if is a negative integer
they are not valid for the gamma function is infinity in negative integers and
zero. However, for negative values the following can be used
n
Y
n
m
n+m1
Y
(l)
l=nm+1
n+m1
Y
m
(1)
l
l=n
=
=
m!
m!
m!
(1)m (n + m 1)!
(1)m (n + m)
=
=
m!(n 1)!
m! (n)
l=n
=
(6.4)
so that for negative values equations (6.2) and (6.3) can be changed to
xa
f (x) = lim h
h0
h
X
( + m)
f (x mh)
m! ()
m=0
(6.5)
10
7 Riemann-Liouville Derivative
and
D
f (x) = lim
n
xa
X
!
n
( + m)
xa
f xm
m! ()
n
(6.6)
m=0
= n
lim
n
X
h0 m=0
Znh
hf (x mh) = n
lim
f (x t)dt =
h0
Zx
= n
lim
h0
f (t)dt =
xnh
= a = x nh = n =
xa
h
h=
xa
n
(6.7)
Riemann-Liouville Derivative
Riemann-Liouville derivative is the most used generalization of the derivative. It is based on Cauchys formula for calculating iterated integrals. If
the first integral of a function, which must equal to deriving it to 1, is as
follows
Zx
D 1 f (x) = f (t)dt
0
(7.1)
7 Riemann-Liouville Derivative
11
the calculation of the second can be simplified by interchanging the integration order
D
ZxZt2
ZxZx
Zx
Zx
f (x) =
f (t1 )dt1 dt2 =
f (t1 )dt2 dt1 = f (t1 ) dt2 dt1 =
0 t1
0 0
Zx
f (t)(x t)dt
t1
(7.2)
1
f (x) =
(n 1)!
Zx
f (t)(x t)n1 dt
(7.3)
Zx
f (t)
dt
(x t)+1
(7.4)
Note however that in the above formulas the election of 0 as the lower
limit of integration has been arbitrary, and any other number could be chosen. Generally, the election of the integration limits in this and other generalizations of the derivative is indicated with subscripts. The RiemannLiouville derivative with the lower integration limit a would be
a D x f (x)
1
=
()
Zx
f (t)
dt
(x t)+1
(7.5)
a D x f (x)
= D n a Dxn f (x)
n = <() + 1
(7.6)
Once seen how integration limits must be specified in fractional derivatives, we can return to the derivative of the exponential (2.1) and the derivative of powers (3.2) to see how their disagreement (3.7) was caused by having
12
8 Domain Transforms
1 bx
1 bx
a Dx e
Zx
=
ebx dx =
eba
ebx eba
=
= 0 =
b
b
= a =
(7.7)
Zx
xb+1 ab+1
ab+1
=
= 0 =
b+1
b+1
xb dx =
= a = 0
(7.8)
f (x) =
dt
(7.9)
D x f (x) = lim
h0
h
()
(x t)+1
Domain Transforms
The Laplace and Fourier transforms that serve to transform to the frequency
domain can be used to get generalizations of the derivative valid for functions
that allow such transformations. The Laplace transform is defined by
L f (x) =
Z
etx f (x)dx
(8.1)
f (x) =
1
2i
a+i
Z
etx f (x)dx
ai
(8.2)
8 Domain Transforms
13
where a is chosen so that it is greather than the real part of any of the
singularities of f (x). An important property of the Laplace transform is
related to the transform of the n-st derivative of a function,
X
n1
L D n f (x) = tn L f (x)
tm (D nm1 f )(0)
(8.3)
m=0
In the case that the terms in the summatory are zero the relation is
particularly simple, and for those kind of functions the derivative can be
generalized so that this property holds true for non-integer values of
(D l 0 Dxm f )(0) = 0
l = 0...m 1
m = <() + 1 =
= L D f (x) = t L f (x)
(8.4)
for which the generalized derivative can be defined as
n
o
D f (x) = L1 t L f (x)
(8.5)
Keeping in mind the result of the generalized derivative of the exponential (2.1), the following development provides an easy understanding of the
reasons involved in the above generalization,
n
o
=
D f (x) = D L1 L f (x)
a+i
Z
Z
1
= D
etx etx f (x)dxdt =
2i
0
ai
a+i
Z
1
2i
ai
etx f (x)dxdt =
D etx
Z
tx
etx f (x)dxdt =
t e
a+i
Z
1
2i
ai
n
o
= L1 t L f (x)
(8.6)
F f (x) =
eitx f (x)dx
(8.7)
1
f (x) =
2
eitx f (x)dx
(8.8)
14
9 Convolution
(8.11)
Z
Z
1
= D
eitx eitx f (x)dxdt =
2
1
=
2
=
1
2
= F
itx
D e
eitx f (x)dxdt =
(it) eitx
eitx f (x)dxdt =
n
o
(it) F f (x)
(8.12)
Convolution
9 Convolution
15
spaces achieved by Laplace and Fourier transforms. The following development shows how this is the case, and how after all the derivative of a
function is its convolution with certain function,
(x) =
x1
()
(9.1)
Zx
(x t)f (t)dt =
= D
(x t)1
f (t)dt =
()
f (x)
(9.2)
And since the transform of the function expressed in (9.1) gives the
following simple result
L x
( + 1)
= L { } = L
=
t+1
x1
()
)
= t
(9.3)
(9.4)
16
9 Convolution
an xn =
n=
= g(D)f (x) =
an D f (x) =
n=
an n (x) f (x) =
n=
n1
X
an x
f (x) =
=
(n)
n=
n
X
an1 x
f (x) =
=
(n + 1)
n=
= h(x) f (x)
(9.5)
where
h(x) =
bn xn
n=
bn =
an1
(n + 1)
(9.6)
This proves the equivalence between functions of the derivative and convolutions. For any convolution there is an equivalent function of the derivative if the function implied can be expanded in powers of x and vice versa.
Now, the Laplace transform shows what was expectable,
L g(D)f (x) = L h(x) f (x) = L h(x) L f (x) =
X
n
an1 x
L f (x) =
= L
(n + 1)
n=
an1 L {xn }
L f (x) =
(n + 1)
n=
X
an1
=
L f (x) =
n+1
t
n=
an tn L f (x) =
n=
= g(t)L f (x)
(9.7)
since the linearity of the Laplace transform combined with the result of (8.5)
17
an D n f (x) =
n=
n
o
an L1 tn L f (x)
=
n=
= L1
an tn L f (x)
=
n=
n
o
= L1 g(t)L f (x)
(9.8)
an D n f (x) =
n=
n
o
an F 1 (it)n F f (x)
=
n=
=
= F 1
an (it)n F f (x)
n=
n
o
= F 1 g(it)F f (x)
(9.9)
These are useful tools for the calculation of functions of the derivative.
As an example, the following case is considered with the help of Fourier
transforms
n
o
=
cos(D) sin(x) = F 1 cos(it)F sin(x)
n
o
= F 1 cos(it)i (t + 1) (t 1) =
= cosh(1) sin(x)
(9.10)
X
X
(1)n
(1)n 2n
D sin(x) =
(1)n sin(x) =
(2n)!
(2n)!
n=0
X
n=0
n=0
1
sin(x) = cosh(1) sin(x)
(2n)!
(9.11)
yielding both methods the same result. The case of (5.3) also matches when
calculated with Fourier transforms.
10
18
11 Properties
Despite its generalization to any complex number seems straightforward, it must be taken into account that while being n integer there is an
isolated singularity at t = z, being it non-integer there is a branch point,
what means that the integration contour has to be chosen carefully. Otherwise, the generalization only involves changing the factorial to the gamma
function, so defining what is known as the Cauchy-type fractional derivative
Z
( + 1)
f (t)
dt
(10.2)
z0 D z f (z) =
2i
(t z)+1
C (z0 , z + )
where supposing that the branch line starts at t = z and passes through z0 ,
the contour C starts at t = z0 , encircles t = z once in the positive sense and
returns to t = z0 where now the integrand has a different value.
It can be proved that this generalization of the derivative is equivalent to
the Riemann-Liouville derivative with a lower limit of z0 for the appropriate
values of in which both derivatives are defined.
11
Properties
Fractional derivatives satisfy quite well all the properties that one could
expect from them, despite some of them are only characteristic of integer
order differentiation and some other have restrictions. For instance, the
property of linearity (1.10) is fulfilled, while that of the iteration (1.9) has
some restrictions in the cases that positive differentiation orders are present.
Some properties that include summatories can be generalized changing
the summatories into integrals. One such property is the expansion in Taylor
series
Z
f (z) =
t
a Dz
f (z0 )
(z z0 )t dt
(t + 1)
(11.1)
a D z f (z)g(z)
Z
=
( + 1)
D t f (z) a Dzt g(z)dt
(t + 1) ( t + 1) a z
(11.2)
xb1
(a)x1c
bc
0 Dx
(b)
(1 x)a
(11.3)
12 Local Operators
12
19
Local Operators
Despite of some interesting results, we have left unanswered important questions about the functions of the derivative. For instance, it would be very
interesting to know if integer order derivatives are or not the only kind of
functions of the derivative that are local, and if are or not other kind of local
operators that are not functions of the derivative.
Looking at (5.2) it seems that in fact the only local functions of the
derivative are integer order derivatives and their finite sums, being nonlocality the result of adding infinite terms with displacement functions
steadily increasing the distance to the point in which the function is evaluated. However, this impediment can be overcome by defining the derivative
in the following way
D f (x) = lim
D f (x)
ax a x
(12.1)
so that the limit assures locality. In order to avoid another feature of fractional derivatives that sometimes is not wanted -the fact that the derivative
of a constant is not zero- it is usual to define the local fractional derivative
as
D f (x) = lim x Dy f (y) f (x)
(12.2)
yx
or similar forms. So there can be operators being local and taking an infinite
number of evaluations of the function, provided that the points in which
these evaluations are carried out -or the value of their displacement functionremains being infinitesimal. The question now is if there are other local
operators besides the local fractional derivative and functions of it.
It could be argued that if a function admits its expansion in Taylor
series, all the information about the function is indeed in its derivatives, so
that any operator giving information about the function will be unnecessary
and reducible to a sum of integer order derivatives. However, on the one
hand there are functions that are not differentiable but are local fractional
differentiable, and on the other hand, even if local operators could be reduced
to ordinary derivatives for differentiable functions, that does not assure that
ordinary derivatives are the most appropriate local operators for all the
tasks.
Characterizing all local operators is important, for locality makes of them
tools that could be useful in understanding Nature.