A semi-Markov algorithm for continuous time random walk limit distributions

DOI10.1051/MMNP/201611303zbMATH Open1390.60119arXiv1603.03512OpenAlexW2296378868MaRDI QIDQ4607494FDOQ4607494

Authors:

Publication date: 14 March 2018

Published in: Mathematical Modelling of Natural Phenomena (Search for Journal in Brave)

Abstract: The Semi-Markov property of Continuous Time Random Walks (CTRWs) and their limit processes is utilized, and the probability distributions of the bivariate Markov process $(X(t),V(t))$ are calculated: $X(t)$ is a CTRW limit and $V(t)$ a process tracking the age, i.e. the time since the last jump. For a given CTRW limit process $X(t)$, a sequence of discrete CTRWs in discrete time is given which converges to $X(t)$ (weakly in the Skorokhod topology). Master equations for the discrete CTRWs are implemented numerically, thus approximating the distribution of $X(t)$. A consequence of the derived algorithm is that any distribution of initial age can be assumed as an initial condition for the CTRW limit dynamics. Four examples with different temporal scaling are discussed: subdiffusion, tempered subdiffusion, the fractal mobile/immobile model and the tempered fractal mobile/immobile model.

Full work available at URL: https://arxiv.org/abs/1603.03512

Recommendations

• Semi-Markov approach to continuous time random walk limit processes
• Fractional dynamics at multiple times
• Limit theorems for some continuous-time random walks
• Fokker-Planck and Kolmogorov backward equations for continuous time random walk scaling limits
• Limit theorems for coupled continuous time random walks.

zbMATH Keywords

fractional derivativeanomalous diffusionfractional kineticssemi-Markov property

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17) Markov and semi-Markov decision processes (90C40)

Cites Work

• Tempering stable processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• The accuracy and stability of an implicit solution method for the fractional diffusion equation
• Lévy Processes and Stochastic Calculus
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• Two-time scale subordination in physical processes with long-term memory
• Inverse stable subordinators
• Title not available (Why is that?)
• Comment on fractional Fokker-Planck equation with space and time dependent drift and diffusion
• Stochastic models for fractional calculus
• Aging uncoupled continuous time random walk limits
• Continuous time random walks with reactions forcing and trapping
• Fractional dynamics at multiple times
• Title not available (Why is that?)
• Fractional governing equations for coupled random walks
• Lagging and leading coupled continuous time random walks, renewal times and their joint limits
• Limit theorems and governing equations for Lévy walks
• An introduction to fractional diffusion
• Semi-Markov approach to continuous time random walk limit processes
• Finite dimensional Fokker-Planck equations for continuous time random walk limits
• Integration by Parts for Stieltjes Integrals
• Generalized continuous time random walks, master equations, and fractional Fokker-Planck equations
• From stochastic processes to numerical methods: a new scheme for solving reaction subdiffusion fractional partial differential equations
• Transport equations for subdiffusion with nonlinear particle interaction
• Semilinear Markov processes, subordinators and renewal theory
• Fokker-Planck and Kolmogorov backward equations for continuous time random walk scaling limits

Cited In (6)

• Semi-Markov approach to continuous time random walk limit processes
• Numeric solution of advection–diffusion equations by a discrete time random walk scheme
• A general purpose sampling algorithm for continuous distributions (the t-walk)
• Variable order fractional Fokker-Planck equations derived from continuous time random walks
• The sequential alternative search as a continuous Markov random walk
• Compartment Models with Memory

This page was built for publication: A semi-Markov algorithm for continuous time random walk limit distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4607494)