Nonlocal Probability Theory: General Fractional Calculus Approach

Abstract

Nonlocal generalization of the standard (classical) probability theory of a continuous distribution on a positive semi-axis is proposed. An approach to the formulation of a nonlocal generalization of the standard probability theory based on the use of the general fractional calculus in the Luchko form is proposed. Some basic concepts of the nonlocal probability theory are proposed, including nonlocal (general fractional) generalizations of probability density, cumulative distribution functions, probability, average values, and characteristic functions. Nonlocality is described by the pairs of Sonin kernels that belong to the Luchko set. Properties of the general fractional probability density function and the general fractional cumulative distribution function are described. The truncated GF probability density function, truncated GF cumulative distribution function, and truncated GF average values are defined. Examples of the general fractional (GF) probability distributions, the corresponding probability density functions, and cumulative distribution functions are described. Nonlocal (general fractional) distributions are described, including generalizations of uniform, degenerate, and exponential type distributions; distributions with the Mittag-Leffler, power law, Prabhakar, Kilbas–Saigo functions; and distributions that are described as convolutions of the operator kernels and standard probability density.