Stochastic models for fractional calculus (Q5894481)

The book is devoted to fractional diffusion models. Such diffusion model can appear, for example, as the limit of a random walk with infinite variance. In order to introduce fractional diffusion, mathematical techniques for dealing with fractional derivatives are presented, and time-fractional diffusion equations are introduced. To continue, stable distributions are considered as limits of random walks. Continuous time random walks (CTRW) are described. Regular variation is introduced as a technical tool to describe the full range of random walks attracted to a normal or stable limit. This shows that fractional diffusion is a robust model. The space-time fractional diffusion equations are developed to govern CTRW scaling limits. Vector fractional diffusion is studied as well as various applications and extensions of the principal models. The book is useful for graduate, postgraduate and PhD students as well as for teachers and those who wish to study modern diffusion models with long-range dependence.