Computing the exit-time for a finite-range symmetric jump process

DOI10.1515/mcma-2014-0015zbMath1330.35013OpenAlexW2286248905MaRDI QIDQ2516010

Nathanial Burch, Richard B. Lehoucq

Publication date: 7 August 2015

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2014-0015

zbMATH Keywords

random walksanomalous diffusionfirst-passagenonlocal diffusionvolume-constraints

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Monte Carlo methods (65C05) Asymptotic behavior of solutions to PDEs (35B40) Integro-partial differential equations (45K05) Diffusion (76R50) Variational methods applied to PDEs (35A15) Fractional derivatives and integrals (26A33) Hyperbolic conservation laws (35L65) Theoretical approximation in context of PDEs (35A35) Nonlocal and multipoint boundary value problems for ordinary differential equations (34B10) Linear integral equations (45A05) Fractional ordinary differential equations (34A08)

Related Items (3)

Numerical methods for nonlocal and fractional models ⋮ Identification of the diffusion parameter in nonlocal steady diffusion problems ⋮ Nonlocal convection-diffusion problems on bounded domains and finite-range jump processes

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