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

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

Mathematics Subject Classification ID

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

Recommendations

• Publication:4941491
• A numerical approach to the generalized nonlinear fractional Fokker-Planck equation
• Approximation of the Lévy-Feller advection-dispersion process by random walk and finite difference method
• Lévy-Feller advection-dispersion equation
• The space fractional diffusion equation with Feller's operator

Cites work

• scientific article; zbMATH DE number 2175072 (Why is no real title available?)
• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• scientific article; zbMATH DE number 3921884 (Why is no real title available?)
• scientific article; zbMATH DE number 46159 (Why is no real title available?)
• scientific article; zbMATH DE number 3636993 (Why is no real title available?)
• scientific article; zbMATH DE number 1264681 (Why is no real title available?)
• scientific article; zbMATH DE number 742629 (Why is no real title available?)
• scientific article; zbMATH DE number 2015779 (Why is no real title available?)
• scientific article; zbMATH DE number 1528193 (Why is no real title available?)
• scientific article; zbMATH DE number 1412981 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 2217537 (Why is no real title available?)
• scientific article; zbMATH DE number 2232753 (Why is no real title available?)
• scientific article; zbMATH DE number 2232776 (Why is no real title available?)
• scientific article; zbMATH DE number 3075147 (Why is no real title available?)
• A physical interpretation for the fractional derivative in Levy diffusion
• Approximation of Lévy-Feller diffusion by random walk
• Approximation of the Lévy-Feller advection-dispersion process by random walk and finite difference method
• Computational aspects of FEM approximation of fractional advection dispersion equations on bounded domains in \(\mathbb R^2\)
• Finite difference approximations for fractional advection-dispersion flow equations
• Finite difference methods for two-dimensional fractional dispersion equation
• Fully discrete random walks for space-time fractional diffusion equations
• Implicit difference approximation for the time fractional diffusion equation
• Numerical solution of the space fractional Fokker-Planck equation.
• Stability and convergence of the difference methods for the space-time fractional advection-diffusion equation
• The fundamental solution of the space-time fractional diffusion equation
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics

Cited in

(28)

• Finite element discretizations for variable-order fractional diffusion problems
• scientific article; zbMATH DE number 1412981 (Why is no real title available?)
• Hierarchical matrix approximations for space-fractional diffusion equations
• Random-order fractional differential equation models
• Analysis and numerical approximation of a class of two-way diffusions
• Numerical approximation for a variable-order nonlinear reaction-subdiffusion equation
• A method based on the Jacobi tau approximation for solving multi-term time-space fractional partial differential equations
• Finite difference approximations and dynamics simulations for the Lévy fractional Klein-Kramers equation
• Application of the time-fractional diffusion equation to methyl alcohol mass transfer in silica
• 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
• Lévy-Feller advection-dispersion equation
• An improved method for nonlinear variable-order equation
• Numerical approximation of Riesz-Feller operators on \(\mathbb{R}\)
• The Riesz-Bessel fractional diffusion equation
• Approximation of the Lévy-Feller advection-dispersion process by random walk and finite difference method
• From Lévy walks to fractional material derivative: pointwise representation and a numerical scheme
• 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
• Numerical computation of first-passage times of increasing Lévy processes
• New studies for general fractional financial models of awareness and trial advertising decisions
• A Fourier method for the fractional diffusion equation describing sub-diffusion
• Solving the backward problem in Riesz-Feller fractional diffusion by a new nonlocal regularization method
• Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes
• Numerical inversions of a source term in the FADE with a Dirichlet boundary condition using final observations
• Direct and inverse source problems for a space fractional advection dispersion equation

This page was built for publication: Numerical approximation of Lévy-Feller diffusion equation and its probability interpretation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2370713)