Feynman-Kac formula for tempered fractional general diffusion equations with nonautonomous external potential

In this paper, we first establish a version of the Feynman-Kac formula for the tempered fractional general diffusion equation

$ \begin{align} \partial^{\beta, \eta}_{t} u(t,x) = \mathfrak{L}u(t,x) +b(t)u(t,x),\; \; x\in\mathcal{X},\; t\geq0, \end{align} $

with initial value $ f $ belonging to a Banach space $ (\mathbb{B}, \|\cdot\|) $, where $ \partial^{\beta, \eta}_{t} $ denotes the Caputo tempered fractional derivative with order $ \beta\in(0,1) $ and tempered parameter $ \eta>0 $, $ b(t) $ is a bounded and continuous external potential on $ [0, \infty) $, $ \mathfrak{L} $ is the infinitesimal generator of a general time-homogeneous strong Markov process $ \{X_{t}\}_{t\geq0} $, and $ \mathcal{X} $ denotes a Lusin space that is a topological space being homeomorphic to a Borel subset of a compact metric space. By using the properties of the tempered $ \beta $-stable subordinator $ S_{\beta,\eta}(t) $ and the inverse tempered $ \beta $-stable subordinator $ D_{\beta,\eta}(t) $, and the stochastic calculus for the stochastic integral driven by $ D_{\beta,\eta}(t) $, we show that the Feynman-Kac representation $ u(t,x) $ defined by

$ \begin{align} u(t,x) = {\mathbb{E}}^{x}\bigg[f(X_{D_{\beta,\eta}(t)}) e^{\int_{0}^{t}b(r)dD_{\beta,\eta}(r)}\bigg] \end{align} $

is the unique mild and weak solutions to the tempered fractional general diffusion equation. From the Feynman-Kac formula, we further show the continuity of the solution with respect to time based on the integral properties of the Mittag-Leffler function and differential formula of covariance for $ D_{\beta,\eta}(t) $. By exploring the scaling property of $ D_{\beta,\eta}(t) $, the explicit order is also presented for the continuity of the solution with respect to tempered parameter $ \eta $.