Numerical approximation of Lévy-Feller diffusion equation and its probability interpretation

DOI10.1016/J.CAM.2006.09.017MaRDI QIDQ2370713zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 29 June 2007

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2006.09.017

zbMATH Keywords

Lévy-Feller diffusionMarkovian random walknumerical approximationRiez-Feller potentialstability and convergencestable probability distributions

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Random measures (60G57)

Review text

The authors prove and discuss the Lévy-Feller fractional diffusion equation, which is obtained from the standard diffusion equation by replacing the second-order space derivative with a Riesz-Feller derivative of order \(\alpha\in (0,2]\) \((\alpha \neq 1)\) and skewness \(\theta\) \((| \theta| \leq \min\left\{\alpha, 2-\alpha\right\})\). In particular, two discrete schemes are constructed for the Lévy-Feller diffusion equation: \[ \frac{\partial u(x,t)}{\partial t}=D^{\alpha}_{\theta} u(x,t),\quad 0<\alpha\leq 2~ (\alpha\neq 1),\quad x\in \mathbb R, t>0 \] \[ u(x,0)=f(x),\quad x\in \mathbb R,~~ f\in L_{1}(\mathbb R), \] where \( D^{\alpha}_{\theta}\) is the Riez-Feller potential operator. Furthermore, the probabilitic interpretation and the domain of attraction of the corresponding stable Lévy distributions are investigated. Finally, the numerical analysis for the Lévy-Feller fractional diffusion equation with \(1<\alpha <2\) in bounded spatial domain is presented and a numerical example is given.

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