Subdiffusive discrete time random walks via Monte Carlo and subordination

DOI10.1016/J.JCP.2018.06.044MaRDI QIDQ2000440zbMATH OpenOpenAlexWikidataFDO

Authors J. A. Nichols, B. I. Henry, C. N. Angstmann

Publication date 28 June 2019

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1711.06197

zbMATH Keywords

Monte Carlo methodfractional calculusanomalous diffusiondiscrete time random walk

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Fractional partial differential equations (35R11)

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.

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Cited in

(11)

• Transition probability estimates for subordinate random walks
• scientific article; zbMATH DE number 5608447 (Why is no real title available?)
• Numeric solution of advection–diffusion equations by a discrete time random walk scheme
• High order numerical method for a subdiffusion problem
• On self-similar Bernstein functions and corresponding generalized fractional derivatives
• Numerical method with fractional splines for a subdiffusion problem
• A stochastic method for solving time-fractional differential equations
• Subdiffusive search with home returns via stochastic resetting: a subordination scheme approach
• Monte Carlo random walk simulations based on distributed order differential equations with applications to cell biology
• A semi-analytical approach to Caputo type time-fractional modified anomalous sub-diffusion equations
• On subordinate random walks

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