Fractional Operators and Fractionally Integrated Random Fields on Z

Abstract

We consider fractional integral operators $(I-T)^d, d \in (-1,1)$ acting on functions $g: \mathbb{Z}^{\nu} \to \mathbb{R}, \nu \ge 1 $, where $T $ is the transition operator of a random walk on $\mathbb{Z}^{\nu}$. We obtain sufficient and necessary conditions for the existence, invertibility and square summability of kernels $\tau (\mathbf{s}; d), \mathmb{s} \in \mathbb{Z}^{\nu}$ of $(I-T)^d $. Asymptotic behavior of $\tau (\mathbf{s}; d)$ as $|\mathbf{s}| \to \infty$ is identified following local limit theorem for random walk. A class of fractionally integrated random fields $X$ on $\mathbb{Z}^{\nu}$ solving the difference equation $(I-T)^d X = \varepsilon$ with white noise on the right-hand side is discussed, and their scaling limits. Several examples including fractional lattice Laplace and heat operators are studied in detail.