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

DOI10.1051/MMNP/201611303MaRDI QIDQ4607494zbMATH OpenOpenAlexFDO

Authors

Publication date 14 March 2018

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

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

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)

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.

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Cited in

(6)

• Semi-Markov approach to continuous time random walk limit processes
• A general purpose sampling algorithm for continuous distributions (the t-walk)
• Numeric solution of advection–diffusion equations by a discrete time random walk scheme
• 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

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