Density solutions to a class of integro-differential equations

Abstract

We consider the integro-differential equation ${\rm I}^{\alpha}_{0+}f= x^m f$ on the half-line. We show that there exists a density solution, which is then unique and can be expressed in terms of the Beta distribution, if and only if $m> \alpha.$ These density solutions extend the class of generalized one-sided stable distributions introduced in Schneider (1987) and more recently investigated in Pakes (2014). We study various analytical aspects of these densities, and we solve the open problems about infinite divisibility formulated in Pakes (2014).