Finite difference/predictor-corrector approximations for the space and time fractional Fokker-Planck equation

DOI10.1016/J.AML.2012.02.025zbMath1252.82073OpenAlexW1965511033MaRDI QIDQ712610

Kaiying Deng, Weihua Deng

Publication date: 17 October 2012

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2012.02.025

zbMATH Keywords

stabilityconvergencepredictorfractional Fokker-Planck equationCaputo derivativeRiemann-Liouville derivativesubdiffusionLévy flightscorrector approach

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• Numerical algorithm for the time fractional Fokker-Planck equation
• Finite difference methods for two-dimensional fractional dispersion equation
• Finite difference approximations for two-sided space-fractional partial differential equations
• An Explicit Finite Difference Method and a New von Neumann-Type Stability Analysis for Fractional Diffusion Equations
• Matrix theory. Basic results and techniques
• The random walk's guide to anomalous diffusion: A fractional dynamics approach

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