Fractional Fokker-Planck equation (Q5919811)

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scientific article; zbMATH DE number 6734340
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Fractional Fokker-Planck equation
scientific article; zbMATH DE number 6734340

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    Fractional Fokker-Planck equation (English)
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    22 June 2017
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    Summary: We shall discuss the numerical solution of the Cauchy problem for the fully fractional Fokker-Planck (fFP) equation in connection with Sinc convolution methods. The numerical approximation is based on \textit{Caputo} and \textit{Riesz-Feller} fractional derivatives. The use of the transfer function in Laplace and Fourier spaces in connection with Sinc convolutions allow to find exponentially converging computing schemes. Examples using different initial conditions demonstrate the effective computations with a small number of grid points on an infinite spatial domain.
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    sinc methods
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    approximation
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    computation
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    integral equations
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    Riesz-Feller derivative
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    Caputo derivative
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    fractional Fokker Planck equation
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