Generalized continuous time random walks, master equations, and fractional Fokker-Planck equations

DOI10.1137/15M1011299zbMATH Open1327.35370MaRDI QIDQ5264052FDOQ5264052

B. I. Henry, T. A. M. Langlands, Peter Straka, I. C. Donnelly, C. N. Angstmann

Publication date: 20 July 2015

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

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zbMATH Keywords

fractional calculuslimit theoremsanomalous diffusioncontinuous time random walkfractional Fokker-Planck equationgeneralized master equation

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) Fractional partial differential equations (35R11) Generalized stochastic processes (60G20) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Cites Work

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Cited In (30)

• Uniform stability for a spatially discrete, subdiffusive Fokker-Planck equation
• Numeric solution of advection–diffusion equations by a discrete time random walk scheme
• Title not available (Why is that?)
• V-Langevin equations, continuous time random walks and fractional diffusion
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• Continuous time random walks in periodic systems: fluid limit and fractional differential equations on the circle
• Generalized Master Equations for Random Walks with Time-Dependent Jump Sizes
• Nonlinear anomalous information diffusion model in social networks
• Time-fractional geometric Brownian motion from continuous time random walks
• Reaction-subdiffusion equations for the \(A \to B\) reaction in space- and time-dependent force fields: a study for the anomalous dielectric relaxation
• Numerical solution of the time-fractional Fokker-Planck equation with general forcing
• Continuous-time random walks and the fractional diffusion equation
• Well-posedness and simulation of weak solutions to the time-fractional Fokker-Planck equation with general forcing
• From classical dynamics to continuous time random walks
• Sturm-Liouville problem and numerical method of fractional diffusion equation on fractals
• A generalised diffusion equation corresponding to continuous time random walks with coupling between the waiting time and jump length distributions
• Anomalous dielectric relaxation with multispecies linear reaction dynamics
• Generalized fractional master equation for self-similar stochastic processes modelling anomalous diffusion
• Fractional Euler Limits and their Applications
• Ehrenfest–Brillouin-type correlated continuous time random walk and fractional Jacobi diffusion
• Verallgemeinerte Mastergleichungen und Fokker‐Planck‐Gleichungen für Prozesse in inhomogenen Systemen weitab vom Gleichgewicht
• A time-fractional generalised advection equation from a stochastic process
• Continuous time random walk based theory for a one-dimensional coarsening model
• A Semidiscrete Finite Element Approximation of a Time-Fractional Fokker--Planck Equation with NonSmooth Initial Data
• Finite difference scheme for the time-fractional Fokker–Planck equation with time- and space-dependent forcing
• Fractional Poisson-Nernst-Planck model for ion channels. I: Basic formulations and algorithms
• A Semi-Markov Algorithm for Continuous Time Random Walk Limit Distributions
• Generalized master equations and fractional Fokker-Planck equations from continuous time random walks with arbitrary initial conditions
• An explicit numerical scheme for solving fractional order compartment models from the master equations of a stochastic process
• Generalized Continuous-Time Random Walks, Subordination by Hitting Times, and Fractional Dynamics

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