Transient anomalous sub-diffusion on bounded domains

DOI10.1090/S0002-9939-2012-11362-0zbMATH Open1266.60087arXiv1004.3986WikidataQ38283438 ScholiaQ38283438MaRDI QIDQ4908286FDOQ4908286

Authors: Mark M. Meerschaert, Erkan Nane, P. Vellaisamy 

Publication date: 5 March 2013

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Abstract: This paper develops strong solutions and stochastic solutions for the tempered fractional diffusion equation on bounded domains. First the eigenvalue problem for tempered fractional derivatives is solved. Then a separation of variables, and eigenfunction expansions in time and space, are used to write strong solutions. Finally, stochastic solutions are written in terms of an inverse subordinator.

Full work available at URL: https://arxiv.org/abs/1004.3986

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zbMATH Keywords

fractional diffusiontempered stable subordinatortempered fractional derivativetransient anomalous sub-diffusion

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional derivatives and integrals (26A33) Fractional partial differential equations (35R11) Stable stochastic processes (60G52) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cited In (19)

• Unified stochastic representation, well-posedness analysis, and regularity analysis for the equations modeling anomalous diffusions
• On the infinite divisibility of distributions of some inverse subordinators
• Confined random motion with Laplace and Linnik statistics
• Stochastic solution of fractional Fokker-Planck equations with space-time-dependent coefficients
• Space-time fractional stochastic equations on regular bounded open domains
• Mixtures of Tempered Stable Subordinators
• Strong analytic solutions of fractional Cauchy problems
• Tempered stable autoregressive models
• Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients
• Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure
• Tempered Mittag-Leffler Lévy processes
• Inverse tempered stable subordinators and related processes with Mellin transform
• Estimates on the tail probabilities of subordinators and applications to general time fractional equations
• Inverse tempered stable subordinators
• Asymptotic properties of Brownian motion delayed by inverse subordinators
• Moments for tempered fractional advection-diffusion equations
• Tempered stable Lévy motion and transient super-diffusion
• Applications of inverse tempered stable subordinators
• Stable Lévy process delayed by tempered stable subordinator

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