Non-Gaussian distributions.

DOI10.1016/S0096-3003(99)00029-6MaRDI QIDQ1569180zbMATH OpenOpenAlexFDO

Authors Michèle Mastrangelo, Victor Mastrangelo, Jean-Marie Teuler

Publication date 25 June 2000

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0096-3003(99)00029-6

zbMATH Keywords

Brownian motiondiffusion equationfractional Brownian motionfractional calculusstable processes

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Review text

The authors use the method of Fourier transforms to study the densities and the corresponding moments for the processes of hyperdiffusion and hypodiffusion (non-Gaussian diffusions). They also give a numerical method for the solution of the anomalous diffusion equation; the method is based on the discrete Fourier transform.

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Cited in

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