On fully mixed and multidimensional extensions of the Caputo and Riemann-Liouville derivatives, related Markov processes and fractional differential equations

From the point of view of stochastic analysis the Caputo and Riemann-Liouville derivatives of order $\al \in (0,2)$ can be viewed as (regularized) generators of stable Lévy motions interrupted on crossing a boundary. This interpretation naturally suggests fully mixed, two-sided or even multidimensional generalizations of these derivatives, as well as a probabilistic approach to the analysis of the related equations. These extensions are introduced and some well-posedness results are obtained that generalize, simplify and unify lots of known facts. This probabilistic analysis leads one to study a class of Markov processes that can be constructed from any given Markov process in $\R^d$ by blocking (or interrupting) the jumps that attempt to cross certain closed set of 'check-points'.

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