Fractional compound Poisson processes with multiple internal states

DOI10.1051/MMNP/2018001MaRDI QIDQ4615563zbMATH OpenOpenAlexWikidataFDO

Authors Weihua Deng, Pengbo Xu

Publication date 29 January 2019

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

Full work available at URL https://arxiv.org/abs/1703.03237

zbMATH Keywords

first passage timegeneralized Fokker-Planck equationfractional compound Poisson processesgeneralized Feynman-Kac equationnon-repeat random walk

Mathematics Subject Classification ID

KdV equations (Korteweg-de Vries equations) (35Q53) Weyl theory and its generalizations for ordinary differential equations (34B20) Initial-boundary value problems for nonlinear higher-order PDEs (35G31)

Abstract: For the particles undergoing the anomalous diffusion with different waiting time distributions for different internal states, we derive the Fokker-Planck and Feymann-Kac equations, respectively, describing positions of the particles and functional distributions of the trajectories of particles; in particular, the equations governing the functional distribution of internal states are also obtained. The dynamics of the stochastic processes are analyzed and the applications, calculating the distribution of the first passage time and the distribution of the fraction of the occupation time, of the equations are given.

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Cited in

(11)

• A robust numerical scheme and analysis for a class of multi-term time-fractional advection-diffusion equation with variable coefficients
• Anisotropic nonlocal diffusion operators for normal and anomalous dynamics
• Immersed finite element method for time fractional diffusion problems with discontinuous coefficients
• Fast algorithms for convolution quadrature of Riemann-Liouville fractional derivative
• Feynman-Kac equation for Brownian non-Gaussian polymer diffusion
• Numerical scheme for the Fokker-Planck equations describing anomalous diffusions with two internal states
• A new collection of real world applications of fractional calculus in science and engineering
• Lévy walk with multiple internal states
• Numerical algorithm for the model describing anomalous diffusion in expanding media
• Numerical algorithm for the space-time fractional Fokker-Planck system with two internal states
• Classification of stochastic processes by convolutional neural networks

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