Subdiffusive discrete time random walks via Monte Carlo and subordination
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Publication:2000440
DOI10.1016/J.JCP.2018.06.044zbMATH Open1415.65010arXiv1711.06197OpenAlexW2768139319WikidataQ129628237 ScholiaQ129628237MaRDI QIDQ2000440FDOQ2000440
C. N. Angstmann, J. A. Nichols, B. I. Henry
Publication date: 28 June 2019
Published in: Journal of Computational Physics (Search for Journal in Brave)
Abstract: A class of discrete time random walks has recently been introduced to provide a stochastic process based numerical scheme for solving fractional order partial differential equations, including the fractional subdiffusion equation. Here we develop a Monte Carlo method for simulating discrete time random walks with Sibuya power law waiting times, providing another approximate solution of the fractional subdiffusion equation. The computation time scales as a power law in the number of time steps with a fractional exponent simply related to the order of the fractional derivative. We also provide an explicit form of a subordinator for discrete time random walks with Sibuya power law waiting times. This subordinator transforms from an operational time, in the expected number of random walk steps, to the physical time, in the number of time steps.
Full work available at URL: https://arxiv.org/abs/1711.06197
Recommendations
Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Fractional partial differential equations (35R11)
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Cited In (11)
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- High order numerical method for a subdiffusion problem
- On self-similar Bernstein functions and corresponding generalized fractional derivatives
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