faculty of mathematics

and natural sciences

Fractional Calculus

Bachelor Project Mathematics

October 2015

Student: D.E. Koning

First supervisor: Dr. A.E. Sterk

Second supervisor: Prof. dr. H.L. Trentelman

 Abstract
This thesis introduces fractional derivatives and fractional integrals, shortly
differintegrals. After a short introduction and some preliminaries the
Grünwald-Letnikov and Riemann-Liouville approaches for defining a
differintegral will be explored. Then some basic properties of differintegrals,
such as linearity, the Leibniz rule and composition, will be proved. Thereafter
the definitions of the differintegrals will be applied to a few examples. Also
fractional differential equations and one method for solving them will be
discussed. The thesis ends with some examples of fractional differential
equations and applications of differintegrals.
 CONTENTS

Contents
1 Introduction 4

2 Preliminaries 5
2.1 The Gamma Function . . . . . . . . . . . . . . . . . . . . . . . . 5
2.2 The Beta Function . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.3 Change the Order of Integration . . . . . . . . . . . . . . . . . . 6
2.4 The Mittag-Leffler Function . . . . . . . . . . . . . . . . . . . . . 6

3 Fractional Derivatives and Integrals 7

3.1 The Grünwald-Letnikov construction . . . . . . . . . . . . . . . . 7
3.2 The Riemann-Liouville construction . . . . . . . . . . . . . . . . 8
3.2.1 The Riemann-Liouville Fractional Integral . . . . . . . . . 9
3.2.2 The Riemann-Liouville Fractional Derivative . . . . . . . 9

4 Basic Properties of Fractional Derivatives 11

4.1 Linearity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
4.2 Zero Rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
4.3 Product Rule & Leibniz’s Rule . . . . . . . . . . . . . . . . . . . 12
4.4 Composition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
4.4.1 Fractional integration of a fractional integral . . . . . . . 12
4.4.2 Fractional differentiation of a fractional integral . . . . . . 13
4.4.3 Fractional integration and differentiation of a fractional
derivative . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

5 Examples 15
5.1 The Power Function . . . . . . . . . . . . . . . . . . . . . . . . . 15
5.2 The Exponential Function . . . . . . . . . . . . . . . . . . . . . . 16
5.3 The Trigonometric Functions . . . . . . . . . . . . . . . . . . . . 17

6 Fractional Linear Differential Equations 18

6.1 The Laplace Transforms of Fractional Derivatives . . . . . . . . . 18
6.1.1 Laplace Transform of the Riemann-Liouville Differintegral 19
6.1.2 Laplace Transform of the Grünwald-Letnikov Fractional
Derivative . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
6.2 The Laplace Transform Method . . . . . . . . . . . . . . . . . . . 21
6.2.1 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . 23

7 Applications 26
7.1 Economic example . . . . . . . . . . . . . . . . . . . . . . . . . . 26
7.1.1 Concrete example . . . . . . . . . . . . . . . . . . . . . . 27

8 Conclusions 29

9 References 31

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 1 INTRODUCTION

1 Introduction
Fractional calculus explores integrals and derivatives of functions. However, in
this branch of Mathematics we are not looking at the usual integer order but
at the non-integer order integrals and derivatives. These are called fractional
derivatives and fractional integrals, which can be of real or complex orders and
therefore also include integer orders. In this thesis we refer to differintegrals if
we are talking about the combination of these fractional derivatives and inte-
grals.

So if we consider the function f (t) = 12 x2 , the well-known integer first-order

and second-order derivatives are f 0 (t) = x and f 00 (t) = 1, respectively. q
But
what if we would like to take the 21 -th order derivative or maybe even the 12 -
th order derivative? This question was already mentioned in a letter from the
mathematician Leibniz to L’Hôpital in 1695. Since then several famous math-
ematicians, such as Grünwald, Letnikov, Riemann, Liouville and many more,
have dealt with this problem. Some of them came up with an approach on how
to define such a differentiation operator. For a very interesting more detailed
history of Fractional Calculus we refer to [1, p. 1-15]

First in chapter 2 we shall give some basic formulas and techniques which
are necessary to better understand the rest of the thesis. Then in chapter 3
two definitions for a differintegral will be given. The Grünwald-Letnikov and
the Riemann-Liouville approach will be explored. These are the two most fre-
quently used differintegrals. Afterwards in chapter 4 some basic properties of
these differintegrals will be given and proved. Then in chapter 5 we shall ex-
plore a few examples. In chapter 6 we will take a look at fractional differential
equations (FDE’s). Therefore we also need to explore the Laplace transforms of
fractional derivatives. Chapter 6 ends with some examples of FDE’s. Thereafter
chapter 7 deals with a few applications of differintegrals which is followed by a
conclusion in chapter 8.

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 2 PRELIMINARIES

2 Preliminaries
In this section we shall give some basic formulas and techniques which are
necessary to better understand the rest of the thesis. We start off with the
Gamma function.

2.1 The Gamma Function

The Gamma function plays an important role in Fractional Calculus and there-
fore it is mentioned in the Preliminaries.

Definition 2.1. Let z ∈ C, then we define the Gamma function as

Z ∞
Γ(z) = e−t tz−1 dt.
0

This integral converges for Re(z) > 0 (the right half of the complex plane).

One of the basic properties of the Gamma function is

Γ(z + 1) = zΓ(z). (1)

To prove this we integrate the formula for the Gamma function given in Defini-
tion 2.1 by parts
Z ∞ Z ∞
−t z −t z t=∞
Γ(z + 1) = e t = [−e t ]t=0 + z e−t tz−1 dt,
0 0

where the first term drops out and the second term is equal to zΓ(z), so identity
(1) follows. We also have Γ(1) = 1 and if we use identity (1) we get

Γ(2) = 1 · Γ(1) = 1 = 1!

Γ(3) = 2 · Γ(2) = 2 · 1! = 2!
Γ(4) = 3 · Γ(3) = 3 · 2! = 3!
.. .. .. ..
. . . .
Γ(n + 1) = n · Γ(n) = n · (n − 1)! = n!
So by induction it follows that Γ(n + 1) = n! for all n ∈ N.

2.2 The Beta Function

In some cases the Beta function is more favorable than the Gamma function.
Since it is convenient to use it in fractional derivatives of the Power function,
we also mention the Beta function here.
Definition 2.2. Let z, w ∈ C, then we define the Beta function as
Z 1
B(z, w) = τ z−1 (1 − τ )w−1 dτ,
0

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 2 PRELIMINARIES

for Re(z) > 0 and Re(w) > 0. After we use the Laplace transform for con-
volutions the Beta function can be expressed in terms of the Gamma function
by
Γ(z)Γ(w)
B(z, w) = (2)
Γ(z + w)
and it follows from (2) that
B(z, w) = B(w, z). (3)
With the Beta function it is possible to obtain two useful results for the Gamma
function
π
Γ(z)Γ(1 − z) = , (4)
sin(πz)
1 √
Γ(z)Γ(z + ) = π22z−1 Γ(2z). (5)
2

2.3 Change the Order of Integration

In section 4.4 about the composition of differintegrals we will take advantage
of changing the order of an integral. If we have any function f (t, τ, ξ) which is
integrable with respect to τ and ξ the change of order is given by the following
formula Z tZ τ Z tZ t
f (t, τ, ξ) dξ dτ = f (t, τ, ξ) dτ dξ. (6)
a a a ξ

2.4 The Mittag-Leffler Function

We know in integer-order differential equations the exponential function ez plays
an important role. This can also be written in its series form which is given by
∞
X zk
ez = .
Γ(k + 1)
k=0

More generally, we can consider the expression

∞
X zk
Eα,β (z) = , (7)
Γ(αk + β)
k=0

where α, β ∈ C and Re(α) > 0. We see that in the special case of α = 1

and β = 1 we have E1,1 (z) = ez . This generalization is called the Mittag-Leffler
function and the two-parameter function is very useful in the fractional calculus,
especially in fractional differential equations, which we will discuss in section 6.

Since the series for the Mittag-Leffler function (7) is uniformly convergent on all
compact subsets of C we can differentiate it term by term to get the following
expression which is also necessary later on.
Corollary 2.1. Let z ∈ C, α, β ∈ C, Re(α) > 0 and m ∈ N, then the m-times
differentiated Mittag-Leffler function is given by
∞
(m)
X (k + m)! zk
Eα,β (z) = .
k! Γ(αk + αm + β)
k=0

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 3 FRACTIONAL DERIVATIVES AND INTEGRALS

3 Fractional Derivatives and Integrals

In fact the term ’Fractional Calculus’ is not appropriate since it does not mean
the fraction of any calculus, nor the calculus of fractions. It is actually the
branch of Mathematics which generalizes the integer-order differentiation and
integration to derivatives and integrals of arbitrary order. If we look at the
sequence of integer order integrals and derivatives
Z t Z τ2 Z t
df (t) d2 f (t)
..., f (τ1 ) dτ1 dτ2 , f (τ1 ) dτ1 , f (t), , ,...
a a a dt dt2
one can see the derivative of arbitrary order α as the insertion between two
operators in this sequence. It is called a fractional derivative and throughout
this thesis the following notation is used:
α
a Dt f (t).

For a fractional integral the same notation is used, but with α < 0. Thus an
integral of order β can be denoted by:
−β
a Dt f (t).

In this thesis we refer to this with the term differintegral. The subscripts a and t
are called the terminals of the differintegral and they are the limits of integration.

There have been different approaches to define this differintegral and this sec-
tion deals with the definitions of the differintegrals from Grünwald-Letnikov and
Riemann-Liouville.

3.1 The Grünwald-Letnikov construction

In this section we will derive a formula for the so-called Grünwald-Letnikov
differintegral. The proof is based on the forward difference derivative given by
f (t + h) − f (t)
f 0 (t) = lim .
h→0 h
If we apply this formula again we get the well-known second-order derivative
f (t + 2h) − 2f (t + h) + f (t)
f 00 (t) = lim .
h→0 h2
We can generalize this formula for a derivative and if we use the binomial coef-
ficient nr = r!(n−r)!
n!


we get for the nth -derivative
r n
P

(n) 0≤r≤n (−1) r f (t + (n − r)h)
f (t) = lim .
h→0 hn
If we replace the integer n by p ∈ R we obtain the following definition.
Definition 3.1. Let m be the smallest natural number such that |p| ≤ m, then
we define the Grünwald-Letnikov differintegral as
 
1 X p
Dp f (t) = lim p (−1)r f (t + (p − r)h).
h→0 h r
0≤r<m

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 3 FRACTIONAL DERIVATIVES AND INTEGRALS

Since we replaced the integer n by the real number p we also have to generalize
the definition of the binomial coefficient. This can be done using the multiplica-
tive formula which gives
 
p p(p − 1)(p − 2) · · · (p − r + 1)
= , (8)
r r(r − 1)(r − 2) · · · 1

where r ∈ N. When the substition h → −h is made in Definition 3.1 we get the

”direct” Grünwald-Letnikov differintegral given by
m  
p
X p
a Dt f (t) = lim h−p
(−1)r f (t − rh)
h→0
r=0
r
mh=t−a
 −p X m     (9)
t−a p t−a
= lim (−1)r f t−r .
h→0 m r=0
r m

When p = n this can be seen as the nth -order derivative and if p = −n it rep-
resents the n-fold integral.

The Grünwald-Letnikov and the Riemann-Liouville fractional derivative can be

related to each other. Therefore we need another expression for the Grünwald-
Letnikov derivative of arbitrary order. This is given by the following formula.
Corollary 3.1.
m t
f (k) (a)(t − a)−p+k
Z
p
X 1
a Dt f (t) = + (t − τ )m−p f (m+1) (τ ) dτ.
Γ(−p + k + 1) Γ(−p + m + 1) a
k=0

In the last formula the derivatives f (k) (t) for k = 1, 2, . . . , m + 1 have to be

continuous in the closed interval [a, t] and m > p − 1. The proof of Corollary
3.1 is pretty long. Therefore it won’t be given in this thesis, but it can be found
in [2, p. 52-55].

3.2 The Riemann-Liouville construction

Instead of beginning with the derivative as in the Grünwald-Letnikov approach,
the Riemann-Liouville starts with the integral. The differintegral is given by
the following expression:
 m+1 Z t
p d
a Dt f (t) = (t − τ )m−p f (τ ) dτ, (10)
dt a

where m ∈ N satisfies (m ≤ p < m + 1). The expression for the Grünwald-

Letnikov fractional derivative given in Corollary 3.1 can be seen as a special
case of the last formula. Corollary 3.1 can be obtained from (10) by repeatedly
performing integration by parts and differentiation. The requirement of f (t)
being integrable is a sufficient condition since then the integral given in (10)
exists for t > a and it is possible to differentiate it m + 1 times. We shall now
show how to obtain the Riemann-Liouville fractional integral and thereafter how
to obtain the Riemann-Liouville fractional derivative.

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 3 FRACTIONAL DERIVATIVES AND INTEGRALS

3.2.1 The Riemann-Liouville Fractional Integral

The Riemann-Liouville differintegral is obtained by combining integer-order
derivatives and integrals. First we will generalize the definition of an integral
to get the Cauchy formula. If f (τ ) is integrable in every finite interval (a, t) the
integral Z t
f (−1) (t) = f (τ ) dτ
a
exists. Next we look at the two-fold integral:
Z t Z τ1 Z t Z t
f (−2) (t) = dτ1 f (τ ) dτ = f (τ ) dτ dτ1
a a a τ
Z t
= (t − τ )f (τ ) dτ.
a

If the last expression is integrated we obtain the three-fold integral of f (t)

Z t Z τ1 Z τ2
(−3)
f (t) = dτ1 dτ2 f (τ ) dτ
a a a
Z t Z τ1
= dτ1 (τ1 − τ )f (τ ) dτ
a a
Z t
1
= (t − τ )2 f (τ ) dτ.
2 a

Then, using induction, the Cauchy formula is derived

Z t
(−n) 1
f (t) = (t − τ )n−1 f (τ ) dτ. (11)
Γ(n) a

If we replace the integer n in the Cauchy formula (11) by the real number p we
obtain an integral of arbitrary order.
Definition 3.2. The Riemann-Liouville fractional integral of order p ∈ R>0 is
given by Z t
−p 1
a Dt f (t) = (t − τ )p−1 f (τ ) dτ.
Γ(p) a

3.2.2 The Riemann-Liouville Fractional Derivative

Now we will show how to obtain the Riemann-Liouville fractional derivative. If
we fix n ≥ 1 in formula (11) and take an integer k then it is possible to rewrite
this expression as
Z t
(k−n) 1 k
f (t) = D (t − τ )n−1 f (τ ) dτ, (12)
Γ(n) a

where Dk represents k iterated integrations if k ≤ 0 and k differentiations if

k > 0. Formula (12) gives iterated integrals of f (t) when k = n − 1, n − 2, . . . ,
the function f (t) if k = n and it gives the derivatives of order k − n = 1, 2, 3, . . .
of the function f (t) when k = n + 1, n + 2, n + 3, . . .

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 3 FRACTIONAL DERIVATIVES AND INTEGRALS

If we replace the integer n in formula (12) by α ∈ R with k − α > 0 we obtain

an expression for differentiation of non-integer order
Z t
k−α 1 dk
D
a t f (t) = (t − τ )α−1 f (τ ) dτ, (13)
Γ(α) dtk a

where 0 < α ≤ 1. If we set p = k − α we can rewrite the last expression and

obtain a derivative of arbitrary order.

Definition 3.3. The Riemann-Liouville fractional derivative of order p ∈ R>0

is given by
Z t
p 1 dk
D
a t f (t) = (t − τ )k−p−1 f (τ ) dτ
Γ(k − p) dtk a
dk
 
−(k−p)
= k a Dt f (t) , (k − 1 ≤ p < k).
dt

In the last equality of Definition 3.3 we used the definition of the Riemann-
Liouville fractional integral given in Definition 3.2. If α = 1 we have p = k − 1
and we deal with the derivative of integer order with order k − 1

dk
 
k−1 −(k−(k−1))
D
a t f (t) = D
a t f (t)
dtk
dk
 
= k a Dt−1 f (t) = f (k−1) (t).
dt

Obviously, if we set p = k ≥ 1 and t > a and use the zero rule given in (14),
which will be proved in the next section, we obtain the usual derivative of integer
order k
dk dk f (t)
 
p 0
D
a t f (t) = k
D
a t f (t) = = f (k) (t).
dt dtk

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 4 BASIC PROPERTIES OF FRACTIONAL DERIVATIVES

4 Basic Properties of Fractional Derivatives

In this section we will discover if some basic properties, such as linearity, Leib-
niz’s rule and composition, still apply to differintegrals.

4.1 Linearity
Linearity follows from just filling in the definitions of the fractional derivatives
and integrals. If we use the expression of the Grünwald-Letnikov fractional
derivative (9) we have
  m   
r p
p
X
−p
a Dt λf (t) + µg(t) = lim h (−1) λf (t − rh) + µg(t − rh)
h→0
r=0
r
mh=t−a
m  
r p
X
−p
= λ lim h (−1) f (t − rh)
h→0
r=0
r
mh=t−a
m  
X p
+ µ lim h−p (−1)r g(t − rh)
h→0
r=0
r
mh=t−a
p
=λ a Dt f (t) + µ a Dtp g(t).

In this proof f (t) and g(t) are functions for which the given operator is defined
and λ, µ ∈ R are real constants. A similar proof can be given for the fractional
integral.

A proof for the linearity of the Riemann-Liouville differintegral will also be

given. Using the fractional integral given in Definition 3.2 we have
  Z t  
−p 1 p−1
D
a t λf (t) + µg(t) = (t − τ ) λf (τ ) + µg(τ ) dτ
Γ(p) a
Z t
1
=λ (t − τ )p−1 f (τ ) dτ
Γ(p) a
Z t
1
+µ (t − τ )p−1 g(τ ) dτ
Γ(p) a
= λ a Dt−p f (t) + µ a Dt−p g(t).

Again, a similar proof can be given for the Rieman-Liouville derivative. For
example using the linearity of Riemann-Liouville integral which we have just
proved and Definition 3.3.

4.2 Zero Rule

It can be proved that if f (t) is continuous for t ≥ a then we have
−p
lim a Dt f (t) = f (t).
p→0

The proof can be found in [2, p. 65-67]. Hence, we define

0
a Dt f (t) = f (t). (14)

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 4 BASIC PROPERTIES OF FRACTIONAL DERIVATIVES

4.3 Product Rule & Leibniz’s Rule

If f and g are functions we know the derivative of their product is given by the
product rule
(f · g)0 = f 0 · g + f · g 0 .
This can be generalized to
n  
(n)
X n
(f g) = f (k) g (n−k) ,
k
k=0

which is also known as the Leibniz rule. In the last expression f and g are
n-times differentiable functions. If f (τ ) and g(τ ) and their derivatives are con-
tinuous in [a, t] it can be proved that the Leibniz rule for fractional derivatives
is given by the following expression
  X m  
p p (k)
a Dt f (t)g(t) = f (t) a Dtp−k g(t), (15)
k
k=0

where again the binomial coefficient is given by (8) and m ∈ N satisfies (m ≤

p < m+1). The proof is fairly long so it won’t be given here, but can be found in
[2, p. 91-97]. If we know the fractional derivative of some function, say g(t) and
we want to determine the fractional derivative of a function which is a product
of g(t) and another function, say f (t), the Leibniz’s rule is very helpful.

4.4 Composition
4.4.1 Fractional integration of a fractional integral
The Riemann-Liouville fractional integral given in Definition 3.2 has the follow-
ing important property
   
−p −q −q −p
D
a t D
a t f (t) = D
a t D
a t f (t) = a Dt−p−q f (t), (16)

which is called the composition rule for the Riemann-Liouville fractional inte-
grals. Using the definition the proof is quite straightforward
  Z t  
−p −q 1 p−1 −q
a Dt a Dt f (t) = (t − τ ) a Dτ f (τ ) dτ
Γ(p) a
Z t  Z τ 
1 1
= (t − τ )p−1 (τ − ξ)q−1 f (ξ) dξ dτ
Γ(p) a Γ(q) a
Z tZ τ
1
= (t − τ )p−1 (τ − ξ)q−1 f (ξ) dξ dτ.
Γ(p)Γ(q) a a

Changing the order of integration using formula (6) gives

  Z t Z t
−p −q 1
a Dt a Dt f (t) = f (ξ) (t − τ )p−1 (τ − ξ)q−1 dτ dξ.
Γ(p)Γ(q) a ξ

−ξ
We make the substitution τt−ξ = ζ from which it follows that dτ = (t − ξ)dζ
and the new interval of integration is [0, 1]. Now we are able to rewrite the last

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 4 BASIC PROPERTIES OF FRACTIONAL DERIVATIVES

expression as
  Z t  Z 1 
−p −q 1 p+q−1 p−1 q−1
a Dt a Dt f (t) = f (ξ) (t − ξ) (1 − ζ) ζ dζ dξ
Γ(p)Γ(q) a 0
Z t  
1
= f (ξ) (t − ξ)p+q−1 B(p, q) dξ,
Γ(p)Γ(q) a

where in the last formula we used the Beta function given in Definition 2.2. If
we now use identity (2) to express the Beta function in terms of the Gamma
function we obtain
Γ(p)Γ(q) t
  Z
−p −q 1
a Dt a Dt f (t) = f (ξ)(t − ξ)p+q−1 dξ
Γ(p)Γ(q) Γ(p + q) a
Z t
1
= (t − ξ)p+q−1 f (ξ) dξ
Γ(p + q) a
−p−q
= a Dt f (t).

4.4.2 Fractional differentiation of a fractional integral

An important property of the Riemann-Liouville fractional derivative is
 
p −q p−q
a Dt a Dt f (t) = a Dt f (t), (17)

where f (t) has to be continuous and if p ≥ q ≥ 0, the derivative a Dtp−q f (t)

exists. This property is called the composition rule for the Riemann-Liouville
fractional derivatives. We shall prove this property, but first we need another
property which actually is a special case of the previous one with q = p
 
p −p
a Dt a Dt f (t) = f (t), (18)

where p > 0 and t > a. This implies that the Riemann-Liouville fractional
differentiation operator is the left inverse of the Riemann-Liouville fractional
integration of the same order p. We prove this in the following way. First we
consider the case p = n ∈ N≥1 , then we have
Z t
dn 1
 
n −n
D
a t D
a t f (t) = (t − τ )n−1 f (τ ) dτ
dtn Γ(n) a
d t
Z
= f (τ ) dτ = f (t).
dt a
For the non-integer case we take k − 1 ≤ p < k and use (16) to write
 
−k −(k−p) −p
a Dt f (t) = a Dt a Dt f (t) .

Now using the definition of the Riemann-Liouville differintegral we obtain

dk
    
p −p −(k−p) −p
D
a t D
a t f (t) = D
a t D
a t f (t)
dtk
dk
 
= k a Dt−k f (t) = f (t).
dt

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 4 BASIC PROPERTIES OF FRACTIONAL DERIVATIVES

This completes theproof. One  note has to be made. The converse of (18) is
not true, so a Dt−p a Dtp f (t) 6= f (t). The proof for this can be found in [2,
p. 70-71]. We won’t give it here since it does not contribute to the proof of (17).

So now we are able to prove (17). We consider two cases. First we’ll deal
with q ≥ p ≥ 0. Then we have
    
p −q p −p −(q−p)
D
a t D
a t f (t)) = D
a t a tD D
a t f (t) = a Dtp−q f (t).

This follows directly from (16) and (18). Now we will consider the second case
in which we have p > q ≥ 0. Using Definition 3.3 and again (16) we see that

dk
    
p −q −(k−p) −q
D
a t D
a t f (t) = D
a t D
a t f (t)
dtk
dk dk
   
−(k−(p−q))
= k a Dtp−q−k f (t) = k a Dt f (t)
dt dt
p−q
= a Dt f (t).

So in both cases we proved equation (17).

4.4.3 Fractional integration and differentiation of a fractional deriva-

tive
Their are two more possibilities when we’re dealing with composition of dif-
ferintegrals, i.e. the fractional integration of a derivative and the fractional
differentiation of a fractional derivative. Both compositions are not useful con-
tributions to this thesis so we shall not give their definitions and proofs here.

Bachelor Project Fractional Calculus 14

 5 EXAMPLES

5 Examples
This section deals with some examples of fractional derivatives and integrals.
First we will take a look at the Power function and thereafter explore the Ex-
ponential function and Trigonometric functions.

5.1 The Power Function

The Power function is very important in Mathematics since many functions
can be derived from an infinite power series. First we will use the Riemann-
Liouville fractional integral given in Definition 3.2 to compute the integral of
order p ∈ R>0 of the power function (t − a)β . Plugging this into the equation
gives Z t
−p β 1
a Dt (t − a) = (t − τ )p−1 (τ − a)β dτ.
Γ(p) a
−a
If we make the substitution τt−a = ξ from which it follows that dτ = (t − a)dξ
and the new interval of integration is [0, 1], we can rewrite the last expression
as
(t − a)β+p 1
Z
−p β
a Dt (t − a) = (1 − ξ)p−1 ξ β dξ
Γ(p) 0
(t − a)β+p
= B(p, β + 1) (19)
Γ(p)
Γ(β + 1)
= (t − a)β+p ,
Γ(β + p + 1)

where in the last equation we made use of (2) to write the Beta function in
terms of the Gamma function. It follows that β > −1.

Next we will compute the derivative of order r ∈ R>0 of the same power function
(t−a)β using the Riemann-Liouville fractional derivative given in Definition 3.3.
Again filling in f (t) = (t − a)β gives

dk
 
r β −(k−r) β
a Dt (t − a) = a Dt (t − a) .
dtk

Now we are able to use the integral of the power function we have just computed
in (19). If we replace the order p by k − r > 0 we can rewrite the last expression
as

r Γ(β + 1) dk
a Dt (t − a)β = (t − a)β+k−r
Γ(β + k − r + 1) dtk
(20)
Γ(β + 1)
= (t − a)β−r ,
Γ(β − r + 1)

with β > −1.

The following two examples can clarify this using concrete numbers. First we
would like to derive the half-derivative of the function f (x) = x, so in the last

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 5 EXAMPLES

expression we set t = x, a = 0, β = 1 and r = 12 . Then we obtain

1 Γ(1 + 1) 1
a Dt
2
(x − 0)1 = (x − 0)1− 2
Γ(1 − 12 + 1)
r
1 Γ(2) 1 x
a Dt x = 3 x =2 .
2 2
Γ( 2 ) π

In our next example we would like to know the derivative of order 43 of the
function f (x) = x2 , so again in formula (20) we set t = x, a = 0, but now β = 2
and r = 43 . This gives us

3 Γ(2 + 1) 3
a Dt
4
(x − 0)2 = 3 (x − 0)2− 4
Γ(2 − 4 + 1)
3
4 2
Γ(3) 1 1 1
4 ≈ 1.76522x1 4
a Dt x = 1 x
Γ(2 4 )

5.2 The Exponential Function

Another frequently used function in Mathematics is the exponential function.
We shall use the Weyl fractional integral, which is formally equal to the Riemann-
Liouville fractional integral given in Definition 3.2, to compute the integral of
order p ∈ R>0 of the function f (t) = eλt , where λ ∈ C. This Weyl differintegral,
which can be found in [3, p. 80], applies to periodic functions where the integral
is equal to zero over a period. If we use the Weyl differintegral we do not have to
make the restriction of setting Re(λ) > 0. So using the Weyl fractional integral
and setting a equal to −∞ gives us
Z t
−p λt 1
−∞ Dt e = (t − τ )p−1 eλτ dτ.
Γ(p) −∞

This expression can be rewritten as

Z t
−p λt 1
p−1 λτ
−∞ Dt e = λ1−p λ(t − τ ) e dτ.
Γ(p) −∞

If we make the substitution ξ = λ(t − τ ) it follows that ξ goes from ∞ → 0 and

−λdτ = dξ so dτ = −λ−1 dξ. Now we can rewrite the last expression as
Z 0
−p λt 1−p 1
D
−∞ t e = −λ ξ p−1 eλt−ξ λ−1 dξ
Γ(p) ∞
Z ∞
1
= λ1−p ξ p−1 eλt−ξ λ−1 dξ
Γ(p) 0
Z ∞
eλt
= λ−p ξ p−1 e−ξ dξ.
Γ(p) 0

Now using the Gamma function given in Definition 2.1 we get

−p λt eλt
−∞ Dt e = λ−p Γ(p) = λ−p eλt .
Γ(p)

Bachelor Project Fractional Calculus 16

 5 EXAMPLES

The fractional derivative of order p ∈ R>0 can be obtained in the same way but
now using Definition 3.3 and is given by
p λt
−∞ Dt e = λp eλt .

So actually we have
p λt
−∞ Dt e = λp eλt (21)
for all p ∈ R.

5.3 The Trigonometric Functions

In this example we would like to explore the differintegral of the sine and co-
sine functions. We are able to use the last example since we can write the
trigonometric functions in terms of the exponential function in the following
way
eit − e−it eit + e−it
sin(t) = cos(t) = .
2i 2
First we will explore the Weyl differintegral of order p ∈ R of the sine function
−it
 it 
p p e −e
−∞ Dt sin(t) = −∞ Dt .
2i

If we now use the linearity of the Weyl differintegral, which follows directly from
the linearity of the Rieman-Liouville differintegral given in Section 4.1 since they
are formally equal, the last expression can be rewritten as
 
p 1 p it p −it
−∞ Dt sin(t) = −∞ Dt e − −∞ Dt e .
2i

If we now use the expression for the differintegral of the exponential function
(21) given in the last example we obtain
   
p 1 p it p −it 1 i π p it −i π
D sin(t) = i e − (−i) e = e 2 e − e 2 p e−it
−∞ t
2i 2i
 
1 i(t+ π p) π π
= e 2 − e−i(t+ 2 p) = sin(t + p).
2i 2

The differintegral for the cosine function can be obtained in the same way and
is given by
p π
−∞ Dt cos(t) = cos(t + p).
2

Bachelor Project Fractional Calculus 17

 6 FRACTIONAL LINEAR DIFFERENTIAL EQUATIONS

6 Fractional Linear Differential Equations

Fractional differential equations are a generalization of differential equations.
They can be solved by several methods of which the Laplace transform is one.
We shall explore this method, but first give some basic properties of the Laplace
transform, which are necessary to understand the rest of this chapter.

6.1 The Laplace Transforms of Fractional Derivatives

First the definition of the Laplace transform itself is given.

Definition 6.1. We define the Laplace transform of a function f (t) for t ∈ R≥0
and s ∈ C as the function F (s) such that
Z ∞
F (s) = L{f (t); s} = e−st f (t) dt.
0

For this integral to exist we must have

e−αt |f (t)| ≤ M for all t > T,

where M and T are positive constants. The original function f (t) can be recov-
ered from the Laplace transform.
Definition 6.2. The inverse Laplace transform f (t) where t ∈ R>0 , s ∈ C and
F (s) is the Laplace transform is given by
Z c+∞
f (t) = L−1 {F (s); t} = est F (s) ds.
c−∞

In Definition 6.2 c = Re(s) > c0 and c0 lies in the right half plane of the
absolute convergence of the Laplace integral given in Definition 6.1.

An important property of the Laplace transform is that it is a linear opera-

tor, i.e.

L{f (t) + g(t); s} = L{f (t); s} + L{g(t); s},

(22)
L{cf (t); s} = cL{f (t); s},

where L{f (t); s} and L{g(t); s} have to exist and c is a constant.

For another useful property of the Laplace transform we first have to define
the convolution of two functions.
Definition 6.3. The convolution of two functions f (t) and g(t) is defined as
Z t Z t
(f ∗ g)(t) = f (t − τ )g(τ ) dτ = f (τ )g(t − τ ) dτ.
0 0

If f (t) and g(t) are equal to zero for t < 0 and F (s) and G(s) exist, the Laplace
transform of this convolution is equal to the product of the Laplace transform
of those functions. This property is given in the following theorem.

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 6 FRACTIONAL LINEAR DIFFERENTIAL EQUATIONS

Theorem 6.4. The Laplace transform of the convolution of two functions f (t)
and g(t) is given by
L{f (t) ∗ g(t); s} = F (s)G(s).
If we integrate the Laplace integral (Definition 6.1) by parts we obtain another
necessary property.
Corollary 6.1. The Laplace transform of the derivative of integer order n is
given by
n−1
X n−1
X
L{f n (t); s} = sn F (s) − sn−k−1 f (k) (0) = sn F (s) − sk f (n−k−1) (0).
k=0 k=0

6.1.1 Laplace Transform of the Riemann-Liouville Differintegral

First we shall explore the Laplace transform of the Riemann-Liouville fractional
integral. Using Definition 3.2 and setting the lower terminal a equal to zero we
get Z t
−p 1
0 Dt f (t) = (t − τ )p−1 f (τ ) dτ.
Γ(p) 0
If we use the definition for convolution (Definition 6.3) and define the function
g(t) = tp−1 , the last expression can be rewritten as
−p 1 p−1 1 1
0 Dt f (t) = t ∗ f (t) = g(t) ∗ f (t) = (g ∗ f )(t). (23)
Γ(p) Γ(p) Γ(p)
If we now take a look at the Laplace transform of g(t) and therefore use the
definition of the Laplace transform given in Definition 6.1 we have
Z ∞
G(s) = L{g(t); s} = L{tp−1 ; s} = tp−1 e−st dt.
0

If we make the substitution st = r it follows that dt = 1s dr and we can rewrite

the last expression as
Z ∞ Z ∞
1
G(s) = p rp−1 e−r dr = s−p rp−1 e−r dr = Γ(p)s−p , (24)
s 0 0

where in the last equality we used the definition of the Gamma function given
in Definition 2.1. Now it’s possible to define the Laplace transform of the
Riemann-Liouville fractional integral. First using (23) we get
 
−p 1
L{0 Dt f (t); s} = L (g ∗ f )(t); s .
Γ(p)
Using the Laplace transform of a convolution given in Theorem 6.4 and the
linearity of of the Laplace transform (22), the last expression can be rewritten
as
1
L{0 Dt−p f (t); s} = G(s)F (s).
Γ(p)
If we now use (24) we obtain for the Laplace transform of the Riemann-Liouville
integral of order p > 0
1
L{0 Dt−p f (t); s} = Γ(p)s−p F (s) = s−p F (s). (25)
Γ(p)

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 6 FRACTIONAL LINEAR DIFFERENTIAL EQUATIONS

Next we shall explore the Laplace transform of the Riemann-Liouville fractional

derivative. As suggested in [2] we shall write this fractional derivative in the
following form
p (n)
0 Dt f (t) = g (t),
from which it follows that
Z t
−(n−p) 1
g(t) = 0 Dt f (t) = (t − τ )n−p−1 f (τ ) dτ, (26)
Γ(n − p) 0

for n − 1 ≤ p < n. If we use the Laplace transform of an integer-order derivative

given in Corollary 6.1 we can write
n−1
X
L{0 Dtp f (t); s} = L{g (n)(t) ; s} = sn G(s) − sk g (n−k−1) (0). (27)
k=0

To rewrite this last expression we will evaluate G(s) and g (n−k−1) (t). First we
make use of the Laplace transform of the Riemann-Liouville fractional integral
given in (25) to write
−(n−p)
G(s) = L{g(t); s} = L{ 0 Dt f (t); s} = s−(n−p) F (s). (28)

Now we will explore g (n−k−1) (t) by taking the (n − k − 1)th -derivative of g(t)
given in (26). Also using the Riemann-Liouville fractional derivative formula
given in Definition 3.3 enables us to write

dn−k−1 −(n−p) p−k−1

g (n−k−1) (t) = 0 Dt f (t) = 0 Dt f (t). (29)
dtn−k−1
So substituting the last two equations in (27) gives the expression for the Laplace
transform of the Riemann-Liouville fractional derivative of order p > 0
n−1
X  
L{0 Dtp f (t); s} n −(n−p)
=s s F (s) − k
s p−k−1
0 Dt f (t)
k=0 t=0
(30)
n−1
X  
p k p−k−1
= s F (s) − s D
0 t f (t) ,
k=0 t=0

for n − 1 ≤ p < n.

So using the last expression for the case n = 1 we obtain

L{0 Dtp f (t); s} = sp F (s) − 0 Dtp−1 f (0), (31)

where 0 ≤ p < 1. For n = 2 we have 1 ≤ p < 2 and it follows from (30) that

L{0 Dtp f (t); s} = sp F (s) − 0 Dtp−1 f (0) − s 0 Dtp−2 f (0). (32)

We shall see that these special cases are helpful in solving some simple fractional
differential equations which will be treated in the examples at the end of this
chapter.

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 6 FRACTIONAL LINEAR DIFFERENTIAL EQUATIONS

6.1.2 Laplace Transform of the Grünwald-Letnikov Fractional Deriva-

tive
In this part we will explore the Laplace transform of the Grünwald-Letnikov
fractional derivative. Actually we’ve already done most of the work and it’s
basically using definitions. Again, as in the Riemann-Liouville case, we set the
lower terminal a equal to zero. First we shall consider the case 0 ≤ p < 1. Using
the definition of the Grünwald-Letnikov fractional derivative given in Corollary
3.1 we have
Z t
p f (0)t−p 1
0 Dt f (t) = + (t − τ )−p f 0 (τ ) dτ,
Γ(1 − p) Γ(1 − p) 0

where f (t) is bounded near t = 0. Using the Laplace transform of the function
given in (24), the laplace transform for convolutions given in Theorem 6.4 and
the Laplace transform of the integer-order derivative given in Corollary 6.1 we
obtain  
f (0) 1
L{0 Dtp f (t); s} = 1−p + 1−p sF (s) − f (0) = sp F (s). (33)
s s
In the case of p > 1 the functions in the sum of Corollary 3.1 can not be
integrated in the classical sense. However, it can be proved that under the
assumption that m ≤ p < m + 1 the Laplace transform of the Grünwald-
Letnikov fractional derivative given in (33) still holds in the sense of generalized
functions.

6.2 The Laplace Transform Method

Before we continue we also need the Laplace transform of a very important
function for linear fractional differential equations consisting of two terms. We
need to explore the Laplace transform of the following function
n o
(m)
L tαm+β−1 Eα,β (atα ); s . (34)

If we look more closely we can see this function is a combination of the power
function and the differentiated Mittag-Leffler function given in Corollary 2.1.
Evaluating this Mittag-Leffler function in atα yields
∞ ∞
(m)
X (k + m)! (atα )k X (k + m)! ak tαk
Eα,β (atα ) = = .
k! Γ(αk + αm + β) k! Γ(αk + αm + β)
k=0 k=0

Substuting this expression in (34) gives

∞
ak tαk
 
n
(m)
o X (k + m)!
L tαm+β−1 Eα,β (atα ); s = L tαm+β−1 ;s .
k! Γ(αk + αm + β)
k=0

Using the linearity of the Laplace transform (22) we can rewrite the last expres-
sion as
∞
n
(m)
o X (k + m)!ak
L tαm+β−1 Eα,β (atα ); s = L{tαk+αm+β−1 ; s} (35)
k! Γ(αk + αm + β)
k=0

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 6 FRACTIONAL LINEAR DIFFERENTIAL EQUATIONS

Now we want to inspect L{tαk+αm+β−1 ; s} from the last equation. We’ve al-
ready determined the Laplace transform of the power function in (24) which
gave us the following equality

L{tp−1 ; s} = Γ(p)s−p .

So in this case we have

Γ(αk + αm + β)
L{tαk+αm+β−1 ; s} = Γ(αk + αm + β)s−(αk+αm+β) = .
sαk+αm+β
Substituting this in (35) gives us
∞
n
(m)
o X (k + m)! ak Γ(αk + αm + β)
L tαm+β−1 Eα,β (atα ); s =
k! Γ(αk + αm + β) sαk+αm+β
k=0
∞ ∞
X (k + m)!ak X (k + m)! ak
= = (36)
k! sαk+αm+β k! sαk+αm+β
k=0 k=0
∞  k
X (k + m)! a
= s−αm−β .
k! sα
k=0

To further rewrite the last expression we look at the series

∞  k X ∞  k
X (k + m)! a a
= (k + m)(k + m − 1) · · · (k + 1)
k! sα sα
k=0 k=0
∞  k−m
X a
= k(k − 1) · · · (k − m + 1) α
s
k=m
∞ k
dm X a
 
= m .
dt sα
k=m

Since the first m terms disappear after differentiation we can rewrite the last
expression as
∞  k ∞  k
X (k + m)! a dm X a dm 1 m!
= = m = .
k! sα dt m sα dt 1 − saα (1 − saα )m+1
k=0 k=0

So substituting this in (36) we finally obtain

n
(m)
o m! m! sα−β
L tαm+β−1 Eα,β (atα ); s = s−αm−β a m+1 = . (37)
(1 − sα ) (s − a)m+1
α

The following table shows some special cases of expression (37) and also the
Laplace transform of the Power function given in (24).

Bachelor Project Fractional Calculus 22

 6 FRACTIONAL LINEAR DIFFERENTIAL EQUATIONS

Table 1: Useful Laplace transforms

F (s) f (t) = L−1 {F (s)}
1 tα−1
sα Γ(α)
1
sα −a tα−1 Eα,α (atα )
sα
s(sα +a) Eα (−atα )
a
s(sα +a) 1 − Eα (−atα )
1
sα (s−a) tα E1,α+1 (at)
α−β
s
sα −a tβ−1 Eα,β (atα )

In Table 1 L−1 is the inverse Laplace transform given in Definition 6.2.

6.2.1 Examples
In this section we shall explore some examples of simple linear fractional differ-
ential equations.

Example 1 Let’s say we would like to solve the fractional differential equation
given by
1

0 Dt f (t) = c1 f (t), (38)

3

where c1 is a constant. Since 0 ≤ p = 13 < 1 we will use the Laplace transform

of the Riemann-Liouville fractional derivative for n = 1 given in (31) to take the
Laplace tansform at both sides of the last equation. If we also use the linearity
of the Laplace transform (22) this gives
1
L{ 0 Dt3 f (t)} = L{c1 f (t)} = c1 L{f (t)}
1
1 −1
s 3 F (s) − 0 Dt3 f (0) = c1 F (s)
1 − 23
s F (s) −
3
0 Dt f (0) = c1 F (s).
−2 −2
We see that 0 Dt 3 f (0) is the value of 0 Dt 3 f (t) evaluated at t = 0. If we assume
−2
this value exists we can set 0 Dt 3 f (0) equal to c2 to obtain
1
s 3 F (s) − c2 = c1 F (s).

If we solve this for F(s) we get

c2
F (s) = 1 .
s − c1
3

If we look at Table 1 we see this is a special case of (37) with α = 13 , β = 1

3 and
a = c1 , so the solution is given by
 
−1 c2 1 1 2 1
f (t) = L 1 = c2 t 3 −1 E 31 , 13 (c1 t 3 ) = c2 t− 3 E 13 , 13 (c1 t 3 ).
s − c1
3

−2
In this example we assumed 0 Dt 3 f (0) exists and it’s value is equal to c2 . To

Bachelor Project Fractional Calculus 23

 6 FRACTIONAL LINEAR DIFFERENTIAL EQUATIONS

prove this assumption was correct we will first take the Laplace transform of
− 23
0 Dt f (t) using the Laplace transform of the Riemann-Liouville integral given
in (25). This gives
−2 2
L{ 0 Dt 3 f (t)} = s− 3 F (s).
c2
Since we just found F (s) = 1 we can substitute this in the last equation to
s 3 −c1
get
2
−2 c2 s− 3
L{ 0 Dt 3 f (t)} = 1 .
s − c1
3

Taking the inverse Laplace transform of both sides yields

2
c2 s− 3
 
− 23
0 Dt f (t) = L−1 1 .
s 3 − c1
If we take a look at Table 1 again we see that this is the value of F (s) with
α = 13 , β = 1 and a = c1 , so this implies the last equation is equal to

− 23 1 1
0 Dt f (t) = c2 t1−1 E 13 ,1 (c1 t 3 ) = c2 E 31 ,1 (c1 t 3 ).

If we evaluate this expression at t = 0 we have

− 23 1
0 Dt f (0) = c2 E 13 ,1 (c1 0 3 ) = c2 E 31 ,1 (0) = c2 ,

as desired.

Example 2 Now we would like to solve the fractional differential equation

given by
19

0 Dt f (t) = 0.
12

19
Since 1 ≤ p = 12 < 2 we will use the Laplace transform of the Riemann-Liouville
fractional derivative for n = 2 given in (32) to take the Laplace transform of
both sides. This gives
19
L{ 0 Dt12 } = 0
19 19
19 −1 −2
s 12 F (s) − 0 Dt12 f (0) − s 0 Dt12 f (0) = 0
7 5
19 − 12
s F (s) − 0 Dt f (0) − s 0 Dt
12 12
f (0) = 0.
7 5
−
Just as in example 1 we assume 0 Dt12 f (0) and 0 Dt 12 f (0) exist and we set them
equal to c3 and c4 respectively. Then the last equation becomes
19
s 12 F (s) − c3 − c4 s = 0.

If we solve this for F (s) we obtain

c3 c4 s
F (s) = 19 + 19 .
s 12 s 12

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 6 FRACTIONAL LINEAR DIFFERENTIAL EQUATIONS

Again using Table 1 we get the solution

   
c3 −1 c4 s
f (t) = L−1 19 + L 19
s 12 s 12
   
c3 c4
= L−1 19 + L −1
7
s 12 s 12
7 5
c3 t 12 c4 t− 12
=   +  .
Γ 1912 Γ 127

Example 3 In this example we will generalize the problem given in Example

1 and we are given an initial value. So we would like to solve
p
0 Dt f (t) = c1 f (t), f (0) = c2 (39)

with 0 ≤ p < 1 and c1 a constant. Again we will use the Laplace transform of
the Riemann-Liouville fractional derivative for n = 1 given in (31) to take the
Laplace tansform at both sides of the last equation. If we also use the linearity
of the Laplace transform (22) this gives

L{ 0 Dtp f (t)} = c1 L{f (t)}

sp F (s) − 0 Dtp−1 f (0) = c1 F (s).

Again assuming that 0 Dtp−1 f (0) exists and setting it equal to c3 gives

sp F (s) − c3 = c1 F (s).

If we solve the last expression for F (s) we get

c3
F (s) = .
sp − c1
Making use of Table 1 we find the solution
 
c3
f (t) = L−1 p = c3 tp−1 Ep,p (c1 tp ).
s − c1

To find the value of c3 we will use the initial value f (0) = c2 . Since we have

lim tp−1 Ep,p (c1 tp ) = 1,

t→0+

it follows that
f (0) = c3 · 1 = c3 .
So the intitial value f (0) = c2 is equal to c3 and we can rewrite the solution of
the fractional linear differential equation as

f (t) = c2 tp−1 Ep,p (c1 tp ).

Bachelor Project Fractional Calculus 25

 7 APPLICATIONS

7 Applications
Fractional Calculus is used in many problems, for example in engineering,
physics, economics, biological processes, etc. Many models can be represented
by fractional differential equations and therefore it is increasingly used in these
branches. It brings new possibilities, namely fractional derivatives can describe
memory effects, so it is possible to evaluate the influence of the past on the
behavior of the system at present time.

One of the first to use Fractional Calculus for a problem was the Norwegian
mathematician Niels Henrik Abel. In 1823 he applied it in the formulation of
his solution for the Tautochrone Problem. The idea of this problem is to find
the curve of a frictionless wire which lies in the (x, y)-plane such that the time
required for a particle to slide down to the lowest point of the curve is indepen-
dent of where the particle is placed.

Since then Fractional Calculus has been applied to many other problems such
as the fractional conservation of mass, the groundwater flow problem, the frac-
tional advection dispersion equation, time-space fractional diffusion equation
models, structural damping models, acoustical wave equations for complex me-
dia, the fractional Schrödinger equation in quantum theory and many more.

Although it would be nice to discuss some of these problems, their solutions

go beyond the difficulty level of this thesis. Therefore we only mentioned some
models and problems and leave it to the reader to further explore these appli-
cations of Fractional Calculus if desired. We will treat one simple economic
example to show how fractional calculus can be implemented in a commonly
used model.

7.1 Economic example

Let’s say a customer buys a product for a price eb. The customer does not pay
instantly for the product, but chooses to pay off in y months. The interest rate
of the seller is r% per month. The monthly payment the customer is charged
is denoted by em. If we define f (τ ) to be the remaining debt at the end of the
τ th month, it can be shown that we have
m
f (τ ) = b(1 + r)τ − (1 + r)τ − 1 .

(40)
r
At τ = y the customer should have payed off his product so then we must have
f (y) = 0. Now we are able to solve (40) for m which gives
b(1 + r)y r
m= . (41)
(1 + r)y − 1
Usually this problem can be solved using the following differential equation
f 0 (τ ) − rf (τ ) = −m. (42)
If we want to approximate this with a fractional differential equation we rewrite
the last formula and consider
p
0 Dt f (τ ) − rf (τ ) = −m, with 0 < p ≤ 1. (43)

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 7 APPLICATIONS

As we have shown in section 6.2.1 we can solve this fractional differential equa-
tion by taking the Laplace transform on both sides. So using the Laplace trans-
form of the Riemann-Liouville fractional derivative for n = 1 (31) and the
linearity of the Laplace transform (22) we obtain

L{ 0 Dtp f (τ )} − L{rf (τ )} = −L{m}

m
sp F (s) − 0 Dtp−1 f (0) − rF (s) = − .
s

As before, in section 6.2.1, we assume 0 Dtp−1 f (0) exists and call it c. Now we
are able to solve for F (s) and obtain
c m
F (s) = − .
sp − r s(sp − r)

Using Table 1 we take the inverse Laplace transform on both sides and get

fp (τ ) = cτ p−1 Ep,p (rτ p ) − mτ p Ep,p+1 (rτ p ). (44)

We have already seen that

lim τ p−1 Ep,p (rτ p ) = 1,

τ →0+

and we also have

lim τ p Ep,p+1 (rτ p ) = 0.
τ →0+

Therefore, if we evaluate expression (44) in τ = 0 we get

fp (0) = c.

Since fp (τ ) denotes the remaining debt at the end of month τ , the last expression
can be seen as the debt at the beginning, which is equal to the price of the
product eb. So we have b = fp (0) = c and we can rewrite (44) as

fp (τ ) = bτ p−1 Ep,p (rτ p ) − mτ p Ep,p+1 (rτ p ). (45)

To clarify this we shall give an example using conrete numbers.

7.1.1 Concrete example

Suppose we have a customer who wants to buy a car. This car costs e20, 000.
He has to pay it back in 5 years and the interest rate of the car salesman is 14%
per year. This means we have the following values

0.14 b(1 + r)y r

b = 20, 000; r= ; y = 60; m= = 465.37
12 (1 + r)y − 1

This allows us to rewrite expression (45) as

   
0.14 p 0.14 p
fp (τ ) = 20, 000τ p−1 Ep,p τ − 465.37τ p Ep,p+1 τ . (46)
12 12

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 7 APPLICATIONS

Note that for p = 1 we have the integer order first derivative which implies we
are dealing with a normal differential equation. Evaluating the last expression
in p = 1 gives
 τ  τ 
0.14 465.37 0.14
f1 (τ ) = 20, 000 1 + − 0.14 1+ −1 .
12 12
12

Indeed if we set τ = y = 60 we obtain f1 (60) ≈ 0, so the remaining debt after

60 months (5 years) is approximately zero. Values of p ≤ 1 near 1 are a bit
harder to compute, but it turns out in these cases it takes less time to pay off
the car which means y is smaller. This is due to the intervals between payments
becoming shorter and therefore the interest rate will be lower.

Bachelor Project Fractional Calculus 28

 8 CONCLUSIONS

8 Conclusions
This thesis introduced the concept of Fractional Calculus; the branch of Math-
ematics which explores fractional integrals and derivatives. We first gave some
basic techniques and functions, such as the Gamma function, the Beta function
and the Mittag-Leffler function, which were necessary to understand the rest of
this paper.

Thereafter we proved the construction of the Grünwald-Letnikov and the Riemann-

Liouville method to define a differintegral. Therefore we used the forward dif-
ference derivative and the Cauchy formula for repeated integration respectively.
Altough these differintegrals do not look the same, we saw that the Grünwald-
Letnikov differintegral was a special case of the Riemann-Liouville differintegral
and therefore give the same result under some special conditions. Then we
checked if some basic rules of differentiation and integration still hold for these
differintegrals. We proved they are both linear and gave an expression for the
Leibniz rule for fractional derivatives. We also explored the composition of
fractional integrals and fractional derivatives. After giving the framework of
differintegrals we were able to make use of it. We explored examples of some
frequently used functions, namely the Power function, the Exponential function
and the Trigonometric functions.

Next we studied Fractional Linear Differential Equations. First we had to give

some basics about the Laplace transform, since we were about to use this method
for solving these differential equations. Then we applied the Laplace transform
to the Riemann-Liouville and Grünwald-Letnikov differintegral. After evaluat-
ing the Laplace transform of a very useful function, namely a combination of the
Power function and the Mittag-Leffler function, we were able to explore some
simple examples.

At last we briefly discussed some applications of Fractional Calculus and ex-

amined a commonly used economic model using fractional differential equations.

This thesis did not cover everything related to Fractional Calculus. There have
been many more approaches to define a differintegral. For example the Caputo,
Hadamard and Miller-Ross differintegrals are also frequently used. However
the Grünwald-Letnikov and the Riemann-Liouville differintegral are the most
common so we decided to leave it there since the other differintegrals would not
have been a very useful addition to this thesis.

In addition there are many more methods for solving fractional linear differ-
ential equations. Besides the Laplace transform we could also have used the
Fourier transform, the method of reduction to a Volterra integral equation, the
power series method or the transformation to an ordinary differential equation.
Since the purpose was to give some brief introduction to fractional differential
equations and their solutions we decided to explore only one method.

Some people advocate differintegrals should be implemented in standard Math-

ematics and replace the integer order derivatives and integrals. According to
them they provide more possibilities since differintegrals cover derivatives and

Bachelor Project Fractional Calculus 29

 8 CONCLUSIONS

integrals of arbitrary order, and therefore also integer order derivatives and in-
tegrals. Although I agree to some extent with this, I don’t think Fractional
Calculus is necessary for ordinary Mathematics, since these extra possibilities
are not really commonly used additions. Besides, many definitions for a dif-
ferintegral exist so which one should we use in general? I also think that the
formulas are pretty awkward, definitely for first year students. It would be a lot
harder to compute just a simple integer order derivative or integral. Though it
is a very interesting subject and definitely worth researching, I believe it should
be left as an ’exotic’ branch of Mathematics.

Bachelor Project Fractional Calculus 30

 9 REFERENCES

9 References
[1] Keith B. Oldham and Jerome Spanier. The Fractional Calculus; Theory and
Applications of Differentiation and Integration to Arbitrary Order. Academic
Press, San Diego, California, USA, 1974.

[2] I. Podlubny. Fractional Differential Equations. Academic Press, San Diego,

California, USA, 1998.
[3] B. Ross. Fractional Calculus and Its Applications. Springer-Verlag Berlin
Heidelberg, Germany, 1975.

Bachelor Project Fractional Calculus 31