A fractional PDE for first passage time of time-changed Brownian motion and its numerical solution
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Publication:1989376
DOI10.1016/j.apnum.2019.07.020zbMath1440.60076OpenAlexW2964051170MaRDI QIDQ1989376
Enrica Pirozzi, Maria Francesca Carfora, Giacomo Ascione, Mario Abundo
Publication date: 21 April 2020
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2019.07.020
Brownian motion (60J65) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)
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