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

DOI10.1016/J.JCP.2006.06.005zbMath1112.65006OpenAlexW1997347739MaRDI 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

stabilityconvergencenumerical examplesadvection-diffusion equationRiemann-Liouville operatorfractional advection-dispersion processGrünwald-Letnikov discretization of fractional derivatives

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Fractional derivatives and integrals (26A33) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

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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
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