A new `walk on spheres' type method for fractional diffusion equation in high dimensions based on the Feynman-Kac formulas

DOI10.1016/j.aml.2023.108597zbMath1518.35648OpenAlexW4318818714MaRDI QIDQ6160858

Bihao Su, Chang-Tao Sheng, Cheng-long Xu

Publication date: 26 June 2023

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2023.108597

zbMATH Keywords

Monte Carlo methodtransition densityPoisson kernelintegral fractional Laplacian

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Transport processes in time-dependent statistical mechanics (82C70) Stochastic integrals (60H05) Initial value problems for second-order parabolic equations (35K15) Fractional partial differential equations (35R11)

Cites Work

• Hitchhiker's guide to the fractional Sobolev spaces
• Can one see \(\alpha\)-stable variables and processes?
• Schrödinger equations with fractional Laplacians
• First Passage Times for Symmetric Stable Processes in Space
• Unbiased ‘walk-on-spheres’ Monte Carlo methods for the fractional Laplacian
• The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
• Fast Fourier-like Mapped Chebyshev Spectral-Galerkin Methods for PDEs with Integral Fractional Laplacian in Unbounded Domains
• A Walk Outside Spheres for the fractional Laplacian: Fields and first eigenvalue
• The random walk's guide to anomalous diffusion: A fractional dynamics approach

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