A fractional PDE for first passage time of time-changed Brownian motion and its numerical solution

DOI10.1016/j.apnum.2019.07.020zbMath1440.60076MaRDI 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

zbMATH Keywords

simulation; Caputo fractional derivative; compact exponential implicit scheme; sub-diffusion processes

Mathematics Subject Classification ID

60J65: Brownian motion

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

60K50: Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.)

Related Items

On the first-passage times of certain Gaussian processes, and related asymptotics

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