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

DOI10.1016/J.CAM.2006.09.017zbMATH Open1125.26014OpenAlexW2154277570MaRDI QIDQ2370713FDOQ2370713

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

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zbMATH Keywords

numerical approximationstability and convergenceMarkovian random walkRiez-Feller potentialstable probability distributionsLévy-Feller diffusion

Mathematics Subject Classification ID

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

Cites Work

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Cited In (28)

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• Hierarchical matrix approximations for space-fractional diffusion equations
• Random-order fractional differential equation models
• Numerical approximation for a variable-order nonlinear reaction-subdiffusion equation
• Finite difference approximations and dynamics simulations for the Lévy fractional Klein-Kramers equation
• Analysis and numerical approximation of a class of two-way diffusions
• A method based on the Jacobi tau approximation for solving multi-term time-space fractional partial differential equations
• Application of the time-fractional diffusion equation to methyl alcohol mass transfer in silica
• Lévy-Feller advection-dispersion equation
• Numerical simulation of a finite moment log stable model for a European call option
• The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
• Numerical approximation of Riesz-Feller operators on \(\mathbb{R}\)
• An improved method for nonlinear variable-order equation
• From Lévy walks to fractional material derivative: pointwise representation and a numerical scheme
• The Riesz-Bessel fractional diffusion equation
• Approximation of the Lévy-Feller advection-dispersion process by random walk and finite difference method
• Regularization technique for an inverse space-fractional backward heat conduction problem
• Anomalous diffusion modeling by fractal and fractional derivatives
• Numerical methods for time-fractional convection-diffusion problems with high-order accuracy
• Efficient Legendre spectral tau algorithm for solving the two-sided space-time Caputo fractional advection-dispersion equation
• New studies for general fractional financial models of awareness and trial advertising decisions
• Numerical computation of first-passage times of increasing Lévy processes
• A Fourier method for the fractional diffusion equation describing sub-diffusion
• Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes
• Solving the backward problem in Riesz-Feller fractional diffusion by a new nonlocal regularization method
• Numerical inversions of a source term in the FADE with a Dirichlet boundary condition using final observations
• Finite element discretizations for variable-order fractional diffusion problems
• Direct and inverse source problems for a space fractional advection dispersion equation

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