Tempered stable Lévy motion and transient super-diffusion

DOI10.1016/J.CAM.2009.10.027MaRDI QIDQ847223zbMATH OpenOpenAlexFDO

Authors Boris Baeumer, Mark M. Meerschaert

Publication date 12 February 2010

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2009.10.027

zbMATH Keywords

power lawfractional derivativesparticle trackingtruncated power law

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cited in

(only showing first 100 items - show all)

• Moments for tempered fractional advection-diffusion equations
• A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
• A novel fast tempered algorithm with high-accuracy scheme for 2D tempered fractional reaction-advection-subdiffusion equation
• On inverse initial value problems for the stochastic strongly damped wave equation
• Predictor-corrector approach for Riesz tempered fractional diffusion equation with a nonlinear source term
• The implicit midpoint method for variable-coefficient two-sided space tempered fractional diffusion equation
• A high-order algorithm for time-Caputo-tempered partial differential equation with Riesz derivatives in two spatial dimensions
• Analytic solution to space-fractional Fokker-Planck equations for tempered-stable Lévy distributions with spatially linear, time-dependent drift
• Product rule for vector fractional derivatives
• Applications of inverse tempered stable subordinators
• Numerical schemes of the time tempered fractional Feynman-Kac equation
• The implicit midpoint method for Riesz tempered fractional diffusion equation with a nonlinear source term
• Fast predictor-corrector approach for the tempered fractional differential equations
• Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
• Computational solutions of the tempered fractional wave-diffusion equation
• New theories and applications of tempered fractional differential equations
• Implied risk aversion: an alternative rating system for retail structured products
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
• Numerical methods for SPDEs with tempered stable processes
• On CSCS-based iteration method for tempered fractional diffusion equations
• Efficient difference schemes for the Caputo-tempered fractional diffusion equations based on polynomial interpolation
• Spatiotemporal chaos in spatially extended fractional dynamical systems
• Local discontinuous Galerkin methods for the time tempered fractional diffusion equation
• High-order numerical approximation formulas for Riemann-Liouville (Riesz) tempered fractional derivatives: construction and application. II.
• Spectral methods for substantial fractional differential equations
• Finite difference/finite element method for a nonlinear time-fractional fourth-order reaction-diffusion problem
• Numerical methods for nonlocal and fractional models
• Convergence analysis of a LDG method for tempered fractional convection–diffusion equations
• On substantial fractional difference operator
• Existence and uniqueness of solutions for forward and backward nonlocal Fokker-Planck equations with time-dependent coefficients
• Nonlocal convection-diffusion problems on bounded domains and finite-range jump processes
• Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators
• Codifference as a practical tool to measure interdependence
• On multivariate fractional random fields: tempering and operator-stable laws
• Sufficient conditions for the exponential stability of nonlinear fractionally perturbed ODEs with multiple time delays
• Numerical algorithms of the two-dimensional Feynman-Kac equation for reaction and diffusion processes
• On tempered Hilfer fractional derivatives with respect to functions and the associated fractional differential equations
• On high-order schemes for tempered fractional partial differential equations
• High order algorithm for the time-tempered fractional Feynman-Kac equation
• A Lagrange-quadratic spline optimal collocation method for the time tempered fractional diffusion equation
• Finite element method for drifted space fractional tempered diffusion equation
• Transient anomalous sub-diffusion on bounded domains
• Stability and convergence of the Crank-Nicolson scheme for a class of variable-coefficient tempered fractional diffusion equations
• Option pricing in subdiffusive Bachelier model
• The drift burst hypothesis
• Optimality conditions involving the Mittag-Leffler tempered fractional derivative
• Fractionally integrated GARCH model with tempered stable distribution: a simulation study
• Well-posedness and numerical approximation of tempered fractional terminal value problems
• High-order numerical approximation formulas for Riemann-Liouville (Riesz) tempered fractional derivatives: construction and application (I)
• Generalized Langevin equation with tempered memory kernel
• Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• Numerical approximations for the tempered fractional Laplacian: error analysis and applications
• Tempered fractional calculus
• Finite element method for a symmetric tempered fractional diffusion equation
• A preconditioning technique for all-at-once system from the nonlinear tempered fractional diffusion equation
• Numerical approaches to the functional distribution of anomalous diffusion with both traps and flights
• Explicit representation of characteristic function of tempered α‐stable Ornstein–Uhlenbeck process
• Transport in the spatially tempered, fractional Fokker-Planck equation
• Characterizing anomalous diffusion by studying displacements
• Strong analytic solutions of fractional Cauchy problems
• Numerical algorithms for the time-space tempered fractional Fokker-Planck equation
• Rotational invariance of stochastic processes with application to fractional dynamics
• High order schemes for the tempered fractional diffusion equations
• Bootstrapping high-frequency jump tests
• Fourth-order alternating direction implicit difference scheme to simulate the space-time Riesz tempered fractional diffusion equation
• Fundamental solution of the tempered fractional diffusion equation
• Stochastic integration for tempered fractional Brownian motion
• Existence, uniqueness and numerical analysis of solutions of tempered fractional boundary value problems
• The tempered stable process with infinitely divisible inverse subordinators
• Relaxation patterns and semi-Markov dynamics
• On tempered fractional calculus with respect to functions and the associated fractional differential equations
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
• Tempered fractional differential equation: variational approach
• Second-order numerical methods for the tempered fractional diffusion equations
• Tempered fractional Sobolev spaces
• Tempered Fractional Sturm--Liouville EigenProblems
• Modified cumulative distribution function in application to waiting time analysis in the continuous time random walk scenario
• Geometric Brownian motion with tempered stable waiting times
• Stochastic solutions for time-fractional heat equations with complex spatial variables
• First-exit times of an inverse Gaussian process
• Well-posedness and numerical algorithm for the tempered fractional differential equations
• A Unified Meshfree Pseudospectral Method for Solving Both Classical and Fractional PDEs
• A numerical algorithm for the Caputo tempered fractional advection-diffusion equation
• Effects of the tempered aging and the corresponding Fokker-Planck equation
• Nonlocal dynamics in a gene regulatory system with tempered stable Lévy noise
• Transient space-fractional diffusion with a power-law superdiffusivity: approximate integral-balance approach
• Volatility activity: specification and estimation
• Convergence analysis of a LDG method for time-space tempered fractional diffusion equations with weakly singular solutions
• A fully discrete local discontinuous Galerkin method with the generalized numerical flux to solve the tempered fractional reaction-diffusion equation
• An efficient computational technique for semilinear time-fractional diffusion equation
• High order algorithms for the fractional substantial diffusion equation with truncated Lévy flights
• A Riesz Basis Galerkin Method for the Tempered Fractional Laplacian
• Self-similar Cauchy problems and generalized Mittag-Leffler functions
• Boundary conditions for nonlocal one-sided pseudo-differential operators and the associated stochastic processes
• Tempered stable Lévy motion driven by stable subordinator
• Mass-conserving tempered fractional diffusion in a bounded interval
• Fractional diffusion on bounded domains
• Variable-order fractional Laplacian and its accurate and efficient computations with meshfree methods
• Modeling anomalous diffusion by a subordinated fractional Lévy-stable process

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