Tempered stable Lévy motion and transient super-diffusion

DOI10.1016/J.CAM.2009.10.027zbMATH Open1423.60079OpenAlexW2065697505MaRDI QIDQ847223FDOQ847223

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

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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)

• Finite difference/finite element method for a nonlinear time-fractional fourth-order reaction-diffusion problem
• Parameter Estimation for Exponentially Tempered Power Law Distributions
• On substantial fractional difference operator
• 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
• Numerical algorithms of the two-dimensional Feynman-Kac equation for reaction and diffusion processes
• On high-order schemes for tempered fractional partial differential equations
• High order algorithm for the time-tempered fractional Feynman-Kac equation
• Transient anomalous sub-diffusion on bounded domains
• High Order Algorithms for the Fractional Substantial Diffusion Equation with Truncated Lévy Flights
• Stability and convergence of the Crank-Nicolson scheme for a class of variable-coefficient tempered fractional diffusion equations
• Option pricing in subdiffusive Bachelier model
• 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)
• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• Numerical approximations for the tempered fractional Laplacian: error analysis and applications
• Generalized Langevin equation with tempered memory kernel
• Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
• Finite element method for a symmetric tempered fractional diffusion equation
• Tempered fractional calculus
• Strong analytic solutions of fractional Cauchy problems
• Numerical algorithms for the time-space tempered fractional Fokker-Planck equation
• High order schemes for the tempered fractional diffusion equations
• Fundamental solution of the tempered fractional diffusion equation
• The tempered stable process with infinitely divisible inverse subordinators
• Existence, uniqueness and numerical analysis of solutions of tempered fractional boundary value problems
• Stochastic integration for tempered fractional Brownian motion
• Relaxation patterns and semi-Markov dynamics
• Tempered Fractional Sturm--Liouville EigenProblems
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
• First-exit times of an inverse Gaussian process
• Well-posedness and numerical algorithm for the tempered fractional differential equations
• Stochastic solutions for time-fractional heat equations with complex spatial variables
• Geometric Brownian motion with tempered stable waiting times
• Effects of the tempered aging and the corresponding Fokker-Planck equation
• Volatility activity: specification and estimation
• A Riesz Basis Galerkin Method for the Tempered Fractional Laplacian
• Tempered stable Lévy motion driven by stable subordinator
• Mass-conserving tempered fractional diffusion in a bounded interval
• Fractional diffusion on bounded domains
• Numerical Methods for SPDEs with Tempered Stable Processes
• Tempered Mittag-Leffler Lévy processes
• Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
• Identification and validation of stable ARFIMA processes with application to UMTS data
• Humbert generalized fractional differenced ARMA processes
• On simulation of tempered stable random variates
• Third order difference schemes (without using points outside of the domain) for one sided space tempered fractional partial differential equations
• A second-order difference scheme for the time fractional substantial diffusion equation
• Synchronisation under shocks: the Lévy Kuramoto model
• On fractional tempered stable processes and their governing differential equations
• Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
• Tempered stable laws as random walk limits
• Moments for tempered fractional advection-diffusion equations
• Product rule for vector fractional derivatives
• Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
• Implied risk aversion: an alternative rating system for retail structured products
• 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
• Computational solutions of the tempered fractional wave-diffusion equation
• Bootstrapping High-Frequency Jump Tests
• 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
• Numerical methods for nonlocal and fractional models
• Convergence analysis of a LDG method for tempered fractional convection–diffusion equations
• Existence and uniqueness of solutions for forward and backward nonlocal Fokker-Planck equations with time-dependent coefficients
• Sufficient conditions for the exponential stability of nonlinear fractionally perturbed ODEs with multiple time delays
• On multivariate fractional random fields: tempering and operator-stable laws
• On tempered Hilfer fractional derivatives with respect to functions and the associated fractional differential equations
• A Lagrange-quadratic spline optimal collocation method for the time tempered fractional diffusion equation
• Finite element method for drifted space fractional tempered diffusion equation
• Fractionally integrated GARCH model with tempered stable distribution: a simulation study
• The drift burst hypothesis
• Optimality conditions involving the Mittag-Leffler tempered fractional derivative
• Explicit representation of characteristic function of tempered α‐stable Ornstein–Uhlenbeck process
• 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
• Efficient Hermite Spectral Methods for Space Tempered Fractional Diffusion Equations
• Characterizing anomalous diffusion by studying displacements
• Fourth-order alternating direction implicit difference scheme to simulate the space-time Riesz tempered fractional diffusion equation
• Rotational invariance of stochastic processes with application to fractional dynamics
• On tempered fractional calculus with respect to functions and the associated fractional differential equations
• Tempered fractional Sobolev spaces
• Tempered fractional differential equation: variational approach
• Analytic solution to space-fractional Fokker–Planck equations for tempered-stable Lévy distributions with spatially linear, time-dependent drift
• Second-order numerical methods for the tempered fractional diffusion equations
• A Unified Meshfree Pseudospectral Method for Solving Both Classical and Fractional PDEs
• Modified cumulative distribution function in application to waiting time analysis in the continuous time random walk scenario
• A numerical algorithm for the Caputo tempered fractional advection-diffusion equation
• Nonlocal dynamics in a gene regulatory system with tempered stable Lévy noise
• 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
• Boundary conditions for nonlocal one-sided pseudo-differential operators and the associated stochastic processes
• Self-similar Cauchy problems and generalized Mittag-Leffler functions
• Variable-order fractional Laplacian and its accurate and efficient computations with meshfree methods
• Path dynamics of time-changed Lévy processes: a martingale approach

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