Applied Mathematical Sciences, Vol. 2, 2008, no.

40, 1949 - 1962

From Self-Similarity to Fractional Derivative of Non-Differentiable Functions via Mittag-Leffler Function

Guy Jumarie Department of Mathematics University of Qubec at Montral P.O. Box 8888, Downtown Station Montral, Qc H3C 3P8, Canada jumarie.guy@uqam.ca

Abstract. This short note focuses on the relation between fractional differentiability, self-similarity and the Mittag-Leffler function, and tries to clarify the origin and the very reason for introducing fractional derivative. There is a striking similarity between self-similarity and fractional differentiability, and a fractional differentiable function can be thought of as being the sum of a constant function with a self-similar function. Fractional derivative is defined as the limit of fractional difference, and then, by using Laplaces transform, one obtains an integral representation which applies to non-differentiable functions, therefore Taylors series of fractional order for non-differentiable functions. The discrepancy between the modified RiemannLiouville derivative so obtained and some standard definition is examined and explained. And, in quite a natural way, we conclude that the series which defines the Mittag-Leffler function is nothing else but its fractional Taylors series. Integral with respect to (dt) appears to be quite relevant. Mathematics Subject Classification: 26A33, 41A58, 60G18 Keywords: Fractional differentiability, self-similar function, Mittag-Leffler function, Modified Riemann-Liouville derivative, fractional Taylors series, coarse-graining

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1. Introduction
When Mandelbrot [28-30] introduced fractional Brownian motion as the fractional derivative [2-4.6-9,22,25-27,31-39] of a Brownian motion, he noticed that it is also self-similar Recently we suggested a model of fractional derivative which has the Mittag-Leffler function E (t ) as eigenfunction. Our purpose in the present short note is to come back on the definition of fractional derivative, and to comment on its relation with self-similar functions and the Mittag-Leffler function, and also to provide a careful motivation for the derivation of the so-called modified RiemannLiouville derivative which we introduced recently to circumvent some troublesome features involved in some by-now taken for granted classical definitions [5,10]. This short note is organized as follows. Starting from a qualitative intuitive definition of fractional differentiability which is based on customary differentials and discards differentiable functions, we shall bear in mind the relation which exists between fractional differentiability and self-similarity: clearly when a function is selfsimilar then it is fractional differentiable, and the converse is partially true, i.e., if it is fractional differentiable, then it is the sum of a self-similar function with another differentiable function (which may be a constant). As a result, the fractional derivative of a constant should be zero. Then by using a formal operational calculus, one uses fractional difference to generalize derivative of functions, but it appears that this expression does not apply to constant functions, and refers to self-similar functions only, therefore the need to consider one at a time constant function on the one hand, and self-similar function on the other hand. Then we shall use the Laplaces transform to obtain the integral representation of the above model, and we shall examine its discrepancy with the socalled Caputos definition [5]. As a by-product, we shall be led to introduce fractional integral with respect to (dt ) . What follows focuses mainly on the fractional derivative of non-differentiable functions, and provides a careful derivation of modified Riemann-Liouville derivative.

2. Desiderata for a Definition of Fractional Derivative

2.1 Fractional derivative and self-similarity Definition 2.1 A function x(t ) is said to have a fractional derivative x ( ) (t ) of order , 0 < < 1 whenever the limit ( x(t ) := x(t ) x(0) , the symbol := means that the left-side is defined by the right-one)
x ( ) (t )
t 0

lim

x(t ) ( t )

(2.1)

exists and is finite.

Fractional derivative of non-differentiable functions Shortly, this amounts to write the equality

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dx = b ( dt ) . (2.2) As a direct result of this definition, when x(t ) is a constant, one has that dx(t ) = 0 ,

and thus the fractional derivative of a constant should be zero. In a like manner, when & x(t ) is differentiable, one has the differential dx = x(t ) dt , and as a result its fractional derivative is zero. Clearly, on the practical standpoint, the definition 2.1 deals with non-differentiable functions only. Definition 2.2. A function x(t ) is said to be self-similar with the Hurst parameter > 0 whenever there exists a positive constant a such that x(at ) a x(t ) . (2.3) As a result of (2.3), one has the equivalence x(t ) t x(1) . (2.4) Some remarks. (i) According to (2.2), for small t one has x(t ) x(0) bt , therefore x(at ) x(0) a ( x(t ) x(0) ) , in other words, if x(t ) is -th differentiable, then x(t ) x(0) is self-similar, with as Hurst parameter, or again when x(t ) is locally self-similar at t = 0 . (ii) The converse is straightforward. If x(t ) is self-similar, then x(t ) = 0 , and according to (2.4) one has
x(dt ) = dx x(1) (dt ) in such a manner that x(t ) is locally -th differentiable at zero.

(iii) According to (2.2), the fractional derivative of a constant should be zero. . (iv) Assume that x(t ) = f (t ) + g (t ) where f (t ) is differentiable and g (t ) is -th differentiable, then one has the equality x = b0 (t ) + b1 t , therefore one still obtains the limit condition expressed by (2.1). It follows that, exactly like a derivative defines a function up to an arbitrary additive constant, a function of which only the fractional derivative is known, is defined up to an additive differentiable function, incluiding constant functions. More generally, if one has the equality x = b0 (t ) + b1 ( t ) , < then x(t ) is -th differentiable at zero. (v) And the last remark of importance is related to the value of x(0). In (2.3) one has x(0) = 0 , but in (2.2) x(0) may have any value. These simple remarks show how fractional derivative and self-similarity are deeply related, at such a point that, in a first approach, we could have restricted ourselves to the class of self-similar functions only.

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2.2 Fractional derivative and Mittag-Leffler function The Mittag-Leffler function E ( y ), y = t , is defined by the series
E (t ) =

t k , k = 0 (k )!

(2.5)

with the notation (k )!:= (1 + k ) where (.) is the Euler function. Exactly like the exponential e(t ) is the solution of the differential equation Dy (t ) = y (t ), y (0) = 1 , we would like to define a fractional derivative D which would have E (t ) as eigenfunction, that is to say which would provide the equality D E (t ) = E (t ) . (2.6) By this way, we would be in a position to expand a fractional calculus parallel to the classical one, by substituting E (t ) for e(t ) almost everywhere. On substituting (2.5) into (2.6), we then arrive at the following set of desiderata for a suitable definition of fractional derivative. D ( K ) = 0, K consta nt , (2.7) (k )! ( k 1) D x k = x . (2.8) (k )! And well obviously this fractional derivative should provide the customary derivative when = 1 . Remark that the condition (2.7) is not required for convenience only, but on the contrary is quite consistent with the remarks above, in Subsection 2.2

3. Fractional Derivative via Fractional Difference

3.1 Fractional derivative for self-similar functions Introduction of the candidate modeling Definition 3.1 Let f : , t f (t ) , denote a continuous (but not necessarily differentiable) function. Let h > 0 denote a constant discretization span. On defining the forward operator FW (h ) by the equality FW ( h) f (t ) : = f (t + h) ; (3.1) one can write the finite difference f (t ) of f (t ) in the form f (t ) := (FW 1) f (t ) , (3.2) and quite in a natural way, this suggests to define the fractional difference of order , 0 < < 1 , of f (t ) by the expression [11-19].
f (t ) := ( FW 1) f (t )

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(1) k f [t + ( k )h] , k k =0
f (t + h) .

(3.3)

with the notation

(FW )

f (t ) =

With this definition, in quite a natural way, we are led to define the fractional derivative of order of f (t ) as the limit
( f ss ) ( x) = lim h0

f ( x) . h

(3.4)

Inconsistency of this model with the expected derivative of a constant According to the remark (iii) in the subsection (2.1) together with the equation (2.7), we have seen that the fractional derivative of a constant should be zero, and here with the expression (3.4), we have to examine what happens about.To this end, in order to cope with problem of serial convergence which so appears, we shall work with the Laplace transform. ( ( According to (3.4), the Laplaces transform L{f ss ) (t )} of f ss ) (t ) is equal to
( L f ss ) (t )

= s F ( s)

(3.5)

where F ( s ) denotes the Laplaces transform of f (t ) . This expression can be derived as follows. Firstly, as a preliminary result, we remark that one has the following equality ,

L{ f (t + h)} = e sh F ( s ) e sh

e st f (t )dt ,

which provides, for small h ,

L{ f (t + h)} e sh F ( s ) h e sh f (0)

(3.6)

This being the case, taking the Laplace transform of (3.3) yields L{ f (t )} = e hs F ( s ) he hs f (0) + ( 1) k e ( k ) hs F ( s )
=

(1 e )

k =1

sh

F ( s ) he

hs

f ( 0) .

For a small h , we then have

L h f (t ) h (1 1 + sh) F ( s ) h1 e hs f (0) , and by making h tend to zero, we obtain the result.

(3.7)

Further remarks and comments (i) According to (3.7), for a constant K different from zero, we would have ( L{K ss ) } = s 1 K , in other words, with this definition, the fractional derivative of a constant would not be zero, what contradicts one of our desiderata above (see subsection 2.1 and 2.2). This feature is due to the presence of h1 in the coefficient of f (0) in the expression (3.7). (ii) Remark that the classical formula for derivative is (3.8) L{ f (t )} = sF ( s ) f (0) ,

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and as in evidence it is not equivalent to (3.5) when = 1 . And this gives rise to the question as to whether there is some inconsistency or mistake somewhere? (iii) First of all, the consistency between (3.5) and (3.6) is complete when f (0) = 0 , which is the condition satisfied by self-similar functions. In other words, the definition (3.4) can be considered as being quite satisfactory for self-similar functions. (iv) Moreover, according to the subsection 2.1, when we restrict ourselves to the class of functions which satisfy the condition f (0) = 0, then we can claim the following: if the function is fractional differentiable, then it is self-similar; and conversely, if it is self-similar, then it is fractional differentiable. (v) To cope with the problem which is so occurring with the constant term f (0) , we shall state that the fractional derivative of a constant is zero, and we are so led to the following definition. 3.1 Fractional derivative for functions with nonzero initial conditions Definition 3.1 Let f : , t f (t ) , denote a continuous (but not necessarily ~ differentiable) function, and define f (t ) := f (t ) f (0) . Let h > 0 denote a constant discretization span. The fractional derivative of order of f (t ) is defined as the limit
f
( )

~ f (t ) (t ) := lim . h 0 h

(3.9)

An alternative is the following: Definition 3.2. Assume that g (t ) is a self-similar function with the Hurst parameter H , 0 < H < 1 , then its fractional derivative of order H is defined by the expression
g ( H ) (t ) = lim
h0

H g (t ) hH

According to this definition 3.1, the fractional derivative of a constant K is ~ automatically zero, since then one has K = 0 . On has the following Lemma 3.1 According to the Definition 3.1, the Laplace transform L{f ( ) (t )} is provided by the equality L{f ( ) (t )} = s F ( s ) s 1 f (0). (3.10) ~ Proof. It is sufficient to apply the equality (3.5) to the function f (t ) . - Remark that (3.10) provides (3.8) when = 1 .

4. Derivation of the Integral Representation

4.1 Towards the definition One has the Laplaces transform

Fractional derivative of non-differentiable functions

L t 1 1 ( 1)

1955

= s , 0 < < 1 ,

and by using the convolution theorem, in quite a direct way, the equality (3.10) suggests to define the fractional derivative by the inverse Laplace transform
L1 s F ( s )

1 ( 1)

(t )
0

f ( )d .

Unfortunately such a definition comes with some problems on the convergence of the integral, and to cope with this difficulty, we may re-write (3.10) either in the form L{f ( ) (t )} = s 1 sF ( s ) s 1 f (0) , (4.1) or as L{f ( ) (t )} = s s 1 F ( s ) s 1 f (0) . (4.2)
The equation (4.1) involves the term s 1 sF ( s) and thus assumes explicitly that f (t ) is differentiable. In other words, (4.1) refers to functions which are both differentiable and fractional differentiable with 0 < < 1 . In contrast, (4.2) does not make any assumption on the differentiability of f (t ) : strictly speaking, it would apply to a function which is continuous but not necessarily differentiable. To summarize, (4.2) applies to self-similar functions whilst (4.1) does not. For the sake of generalization, we select (4.2) and as a result we so arrive at the following definition

4.2 Modified fractional Riemann-Liouville derivative (via integral). Definition 4.1 (Riemann-Liouville definition revisited). Refer to the function f(x) of the Definition 3.1. (i) Assume that f (t ) is a constant K . Then its fractional derivative of order is
Dt K = K t , 0 , (1 )

(4.3) (4.4)

= 0, > 0 .

(ii) When f (t ) is not a constant, then one will set

f (t ) =
f
( )

f (0) + ( f (t ) f (0) ) ,

and its fractional derivative will be defined by the expression

(t ) =

Dt f (0) + Dt ( f (t ) f (0) )
1 (t ) 1 f ( ) d , < 0 , ( ) 0

in which, for negative , one has

D x ( f (t ) f (0) ) :=

(4.5)

whilst for positive , one will set

Dt ( f (t ) f (0) ) = Dt f ( x) = f ( 1) (t ) , 0 < < 1 ,

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Guy Jumarie

1 d (t ) ( f ( ) f (0) )d . (1 ) dt 0

(4.6)

When n < n + 1 , one will set

f
( )

(4.7) We shall refer to this fractional derivative as to the modified Riemann Liouville derivative, and it is of order to point out that it is strictly equivalent to the definition 3.1, via the equation (4.1).. With this definition 4.1, the Laplace transform L{ } of the fractional derivative is L{f ( ) ( x)} = s L{ f ( x)} s 1 f (0), 0 < < 1 . (4.8)
(t ) := (t )

(f

( n )

(n)

, n < n + 1, n 1 .

4.3 Further remarks and comments As it is well known, many authors prefer to select the equation (4.1) which yields the derivative
f c( ) (t ) =

1 (t ) f ( )d , 0 < < 1 . (1 ) 0

(4.9)

Nevertheless, this definition may appear to be somewhat questionable, due to various troublesome features (We beg the reader to see here only an academic contention and nothing more, please!) (i) Here one uses the derivative of order one to calculate a derivative of order lower than the unit. Usually one works in the opposite way. The derivative of order , 0 < < 1 , would be used to calculate the first order derivative. Here, at the extreme, when = 0 , f& (t ) is used to define f (t ). Or again, it looks like if we were using the second order derivative to define the first one. This is rather disturbing from a physical standpoint. (ii) The use of this definition is more especially questionable in the modeling of physical phenomena involving coarse-graining space, in which, loosely speaking, the point has a thickness, in such a manner that continuousness may be not quite relevant. (iii) Another point is that (4.9) assumes explicitly that x(t ) is differentiable. But then, what happens when it is not the case? Strictly speaking, f ( ) (t ) may exist whilst
& f (t ) does not. The typical example of such a case is provided by the Gaussian white

noise. Irrespective of any stochastic framework, if we consider a realization of this process as a non-random function, then we cannot apply (4.9). To summarize, we shall say that the fractional derivative (4.9) applies to differentiable functions only, whilst the modified Riemann-Liouville derivative deals with functions which may be differentiable.

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1957

5. On the Relation Between Fractional Derivative And Derivative

5.1 Fractional derivative and fractional anti-derivative In usual calculus, the equality
dx dt = g (t ),
t

x ( 0) = 0

(5.1) (5.2)

is equivalent to
x(t ) =

g ( )d .
0

The right-side term of (5.2) is considered as an anti-derivative, in the sense that it is defined by the equality
d g ( )d dt 0

g (t ) .

(5.3)

On applying the same point of view to fractional derivative, we shall say that the fractional differential equality dy = g (t )(dt ) , y (0) = 0, 0 < < 1 (5.4) is equivalent to the fractional integral
y (t ) =

g ( )(d )
0

(5.5)

and here, the right-side term of (5.5) would be the anti-derative of order defined by the identity
d

g ( )(d )
0

g (t )(dt ) .

(5.6)

5.2 Application to the pair (derivative, fractional derivative)

& Assume that the derivative x(t ) is known whilst x(t ) is unknown. A suitable definition of fractional derivative should, will satisfy the equality & D 1 x(t ) = x ( ) (t ) (5.7) which provides & x(t ) = D 1 x ( ) (t ) . (5.8) According to the definition 2.1, (5.8) can be re-written in the form & dx ( ) = x(dt )1 , therefore (see (5.4),(5.5))
x ( ) (t ) = x ( ) (0) +
& x(dt )
0 t 1

(5.9)

5.3 On the definition of fractional integral On combining the fractional Taylors series (see the section 6 below with the definition 4.1, we have proposed the definition [14,16,19]

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Guy Jumarie

g ( )(d )
0

:= (t ) 1 g ( )d , 0 < < 1 ,
0

(5.10)

which relates fractional integral (i.e. integral with respect to (dt ) ) and Riemann integral. Let Y (t ) denote the Heaviside step function, i.e. Y (t ) 1 when t 0 and Y (t ) = 0 elsewhere; and define the impulse function U h (t ) , U h (t ) := Y (t ) Y (t h) . (5.11) With this notation, (5.10) provides the equality

g ( )(d )

= lim
h 0

U
j =0 0

N 1 t

h(

jh) g ( )(d )

which could serve as a point of departure to an approach via analysis. Remark that

g ( )(d )

lim
h 0

U
j =0 jh

N 1 ( j +1) h

h(

jh) g ( )(d ) ,

(5.12)

6. On the Completeness of the Approach

In the equation (2.1), we have defined the fractional derivative by means of the quotient x /(t ) . In the equation (3.9) we explicitly defined fractional derivative by using a fractional difference. For the completeness of the approach, it is compulsory to exhibit the relation between (2.1) and (3.9). This can be done as follows. (Step 1) With the above definition of fractional derivative, it is easy to show that the solution of the fractional differential equation y ( ) (t ) = y (t ), y (0) = y 0 , (6.1) is y (t ) = y 0 E (t ) . (6.2) (Step 2) A simple calculation provides the formal operational equality Dh FW (h) = Dt FW ( h) , (6.3) which, considered as a fractional differential equation with respect to FW (h) , yields the formal expression (see (6.1),(6.2)) FW (h) = E (h Dt ) . (6.4) (Step 3) Expliciting (6.4) provides the fractional Taylors series
x(t + h) = x(t ) +

(k )!x
k =1

h k

( k)

(t ) .

(6.5)

(Step 4) For a small h , we shall consider the term k = 1 only to obtain the fractional Rolle formula dx(t ) = ( !) 1 x ( ) (t )(dt ) (6.6)

Fractional derivative of non-differentiable functions

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which is exactly (2.1). Remark that if we define the Mittag-Leffler function as the solution of the fractional differential equation (6.1), then the series (2.5) appears to be exactly its fractional Taylors series.

7. Concluding Remarks
Prospects and comments We believe that many authors who deal with fractional derivative have not in mind, or have forgotten that there are deep relations with self-similarity, what could be of help to significantly apprehend the question. A self-similar function has a fractional derivative and the converse is almost exact, and we should have this feature in mind when we use fractional derivative in the modeling of physical phenomena. A function which is continuous everywhere but nowhere differentiable cannot be replicated. As a result, it necessarily exhibits random-like characteristics, and this is the reason why fractional stochastic processes and fractals appear in the literature as companion topics of analysis [28-30]. On a modeling standpoint, the trend of our thought is that when a function is differentiable, the knowledge of its fractional derivative will not, should not contribute significantly any more to its practical meaning. Shortly, the very reason of using fractional derivative would be the analysis of non-differentiable functions defined in coarse-graining space. The fractional Taylors series so obtained is very attractive, and allows us to expand a fractional analysis quite parallel to the standard one, and mainly to define integral with respect to (dt ) .By this way we have been in a position to go a step further and to introduce a fractional probability measure in the form ( x) = p ( x)(dx) which provides a support to some space and time fractal Fokker-Planck equations which have been proposed in the literature [21], and exhibits some similarities with quantum probability. Kolwankars approach As a last remark, it is of order to mention that the equation (5.6) has been independently obtained by Kolwankar [23, 24] who refers to it as to local Taylors formula. The framework is not the same, and this author uses an approach which is quite different from ours, by using functions defined on fractal sets to arrive at nondifferentiable functions. In some sense, Kolwankar explains the fractal nature of the non-differentiability, whilst we describe it only. Kolwankars work is theoretical whilst our modeling is merely formal. Nevertheless, it is interesting to notice that the two approaches provide the same Rolle-Taylors formula.

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