Fractional governing equations for coupled random walks

DOI10.1016/J.CAMWA.2011.10.010zbMATH Open1268.60057OpenAlexW2020184704MaRDI QIDQ356292FDOQ356292

Authors: Mark M. Meerschaert, A. Jurlewicz, Peter Kern, Hans-Peter Scheffler 

Publication date: 25 July 2013

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2011.10.010

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zbMATH Keywords

fractional calculusanomalous diffusioncentral limit theorycontinuous time random walkoperator stable law

Mathematics Subject Classification ID

Diffusion processes (60J60) Sums of independent random variables; random walks (60G50) Fractional derivatives and integrals (26A33) Fractional ordinary differential equations (34A08)

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Cited In (31)

• Semi-Markov approach to continuous time random walk limit processes
• On a directionally reinforced random walk
• Space-time fractional diffusion equations and asymptotic behaviors of a coupled continuous time random walk model
• Limit theorems and governing equations for Lévy walks
• Continuous time random walk model with asymptotical probability density of waiting times via inverse Mittag-Leffler function
• A subdiffusive stochastic volatility jump model
• Combination of the meshless finite difference approach with the Monte Carlo random walk technique for solution of elliptic problems
• The influence of the finite velocity on spatial distribution of particles in the frame of levy walk model
• Functional convergence of continuous-time random walks with continuous paths
• Coupled continuous time random maxima
• The tempered stable process with infinitely divisible inverse subordinators
• From Lévy walks to fractional material derivative: pointwise representation and a numerical scheme
• A semi-Markov algorithm for continuous time random walk limit distributions
• A finite element formulation preserving symmetric and banded diffusion stiffness matrix characteristics for fractional differential equations
• Fractal dimension results for continuous time random walks
• Langevin picture of Lévy walks and their extensions
• Fractional diffusion equation with distributed-order material derivative. Stochastic foundations
• Space-time coupled evolution equations and their stochastic solutions
• Coupled continuous time random walk with Lévy distribution jump length signifies anomalous diffusion?
• Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
• Fokker-Planck and Kolmogorov backward equations for continuous time random walk scaling limits
• Limit theorems for some continuous-time random walks
• A Matlab software for approximate solution of 2D elliptic problems by means of the meshless Monte Carlo random walk method
• Fractional dynamics at multiple times
• Densities of scaling limits of coupled continuous time random walks
• Lagging and leading coupled continuous time random walks, renewal times and their joint limits
• Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
• Limit theorems and structural properties of the cat-and-mouse Markov chain and its generalisations
• Finite dimensional Fokker-Planck equations for continuous time random walk limits
• Complementary densities of Lévy walks: typical and rare fluctuations
• Asymptotic properties and numerical simulation of multidimensional Lévy walks

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