Fractional diffusion limit for a kinetic Fokker-Planck equation with diffusive boundary conditions in the half-line

Abstract

We consider a particle living in ${\mathbb{R}}_{+}$, whose velocity is a positive recurrent diffusion with heavy-tailed invariant distribution when the particle lives in $(0,\infty )$. When it hits the boundary $x=0$, the particle restarts with a random strictly positive velocity. We show that the properly rescaled position process converges weakly to a stable process reflected on its infimum. From a P.D.E. point of view, the time-marginals of $(X_t,V_t{)}_{t\ge 0}$ solve a kinetic Fokker-Planck equation on $(0,\infty )\times {\mathbb{R}}_{+}\times \mathbb{R}$ with diffusive boundary conditions. Properly rescaled, the space-marginal converges to the solution of some fractional heat equation on $(0,\infty )\times {\mathbb{R}}_{+}$.