Approximation of the Lévy-Feller advection-dispersion process by random walk and finite difference method

DOI10.1016/j.jcp.2006.06.005zbMath1112.65006MaRDI QIDQ870598

N. E. Zubov

Publication date: 13 March 2007

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2006.06.005

zbMATH Keywords

stability; convergence; numerical examples; advection-diffusion equation; Riemann-Liouville operator; fractional advection-dispersion process; Grünwald-Letnikov discretization of fractional derivatives

Mathematics Subject Classification ID

60G50: Sums of independent random variables; random walks

26A33: Fractional derivatives and integrals

60H30: Applications of stochastic analysis (to PDEs, etc.)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Determination of the unknown source term in a space-fractional diffusion equation, FINITE DIFFERENCE METHODS FOR FRACTIONAL DIFFERENTIAL EQUATIONS, Optimal Collocation Nodes for Fractional Derivative Operators, Polynomial spectral collocation method for space fractional advection–diffusion equation, Numerical simulation of a new two-dimensional variable-order fractional percolation equation in non-homogeneous porous media, Numerical simulation of a new two-dimensional variable-order fractional percolation equation in non-homogeneous porous media, Improved and more feasible numerical methods for Riesz space fractional partial differential equations, Numerical analysis of a new space-time variable fractional order advection-dispersion equation, Galerkin finite element method and error analysis for the fractional cable equation, A meshless method based on point interpolation method (PIM) for the space fractional diffusion equation, Heat conduction modeling by using fractional-order derivatives, Finite element method for two-dimensional space-fractional advection-dispersion equations, Analytical solutions for the multi-term time-fractional diffusion-wave/diffusion equations in a finite domain, New numerical methods for the Riesz space fractional partial differential equations, Numerical computation for backward time-fractional diffusion equation, A RBF meshless approach for modeling a fractal mobile/immobile transport model, Galerkin finite element approximation of symmetric space-fractional partial differential equations, Spectral regularization method for the time fractional inverse advection-dispersion equation, Representation of exact solution for the time-fractional telegraph equation in the reproducing kernel space, Finite element approximation for a modified anomalous subdiffusion equation, Numerical inversions of a source term in the FADE with a Dirichlet boundary condition using final observations, Spectral element method with geometric mesh for two-sided fractional differential equations, Spectral regularization method for a Cauchy problem of the time fractional advection-dispersion equation, Implicit difference scheme of the space-time fractional advection diffusion equation, ADI-Euler and extrapolation methods for the two-dimensional fractional advection-dispersion equation, Fundamental solution and discrete random walk model for a time-space fractional diffusion equation of distributed order, Numerical methods for fractional partial differential equations with Riesz space fractional derivatives, Implicit numerical approximation scheme for the fractional Fokker-Planck equation, Analytical and numerical solutions of a one-dimensional fractional-in-space diffusion equation in a composite medium, Stability and convergence of the difference methods for the space-time fractional advection-diffusion equation, Matrix approach to discrete fractional calculus. II: Partial fractional differential equations, Stability and convergence of a new explicit finite-difference approximation for the variable-order nonlinear fractional diffusion equation, A numerical approximation method for solving a three-dimensional space Galilei invariant fractional advection-diffusion equation, Fractional heat conduction models and thermal diffusivity determination, Numerical identification of multiparameters in the space fractional advection dispersion equation by final observations, Numerical solution for Stokes' first problem for a heated generalized second-grade fluid with fractional derivative, Numerical methods for solving the multi-term time-fractional wave-diffusion equation, Numerical approximation of Lévy-Feller diffusion equation and its probability interpretation, Numerical approximation for a variable-order nonlinear reaction-subdiffusion equation, A Fourier method and an extrapolation technique for Stokes' first problem for a heated generalized second-grade fluid with fractional derivative, Numerical analysis of the Rayleigh-Stokes problem for a heated generalized second-grade fluid with fractional derivatives, Numerical simulation of a finite moment log stable model for a European call option, A novel implicit finite difference method for the one-dimensional fractional percolation equation, Alternating direction implicit-Euler method for the two-dimensional fractional evolution equation, A Fourier method for the fractional diffusion equation describing sub-diffusion, Implicit difference approximation for the two-dimensional space-time fractional diffusion equation, Analytical solution for the time-fractional telegraph equation by the method of separating variables, Finite difference methods and a Fourier analysis for the fractional reaction-subdiffusion equation, Improved matrix transform method for the Riesz space fractional reaction dispersion equation, Weighted finite difference methods for a class of space fractional partial differential equations with variable coefficients, Numerical method for Stokes' first problem for a heated generalized second grade fluid with fractional derivative, Numerical methods for solving a two-dimensional variable-order anomalous subdiffusion equation, Simultaneous inversion for a diffusion coefficient and a spatially dependent source term in the SFADE, A regularization for a Riesz–Feller space-fractional backward diffusion problem

Cites Work

• Fully discrete random walks for space-time fractional diffusion equations
• Approximation of Lévy-Feller diffusion by random walk
• An algorithm for the numerical solution of differential equations of fractional order
• Numerical methods for the solution of partial differential equations of fractional order.
• Numerical solution of the space fractional Fokker-Planck equation.
• Finite difference approximations for fractional advection-dispersion flow equations
• The fundamental solution of the space-time fractional advection-dispersion equation
• Finite difference approximations for two-sided space-fractional partial differential equations
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item