Tychonoff Solutions of the Time-Fractional Heat Equation

In the literature, one can find several applications of the time-fractional heat equation, particularly in the context of time-changed stochastic processes. Stochastic representation results for such an equation can be used to provide a Monte Carlo simulation method, upon proving that the solution is actually unique. In the classical case, however, this is not true if we do not consider any additional assumption, showing, thus, that the Monte Carlo simulation method identifies only a particular solution. In this paper, we consider the problem of the uniqueness of the solutions of the time-fractional heat equation with initial data. Precisely, under suitable assumptions about the regularity of the initial datum, we prove that such an equation admits an infinity of classical solutions. The proof mimics the construction of the Tychonoff solutions of the classical heat equation. As a consequence, one has to add some addtional conditions to the time-fractional Cauchy problem to ensure the uniqueness of the solution.