Approximation of the Lévy-Feller advection-dispersion process by random walk and finite difference method

DOI10.1016/j.jcp.2006.06.005zbMath1112.65006OpenAlexW1997347739MaRDI QIDQ870598

Publication date: 13 March 2007

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2006.06.005

zbMATH Keywords

stability convergence numerical examples advection-diffusion equation Riemann-Liouville operator fractional advection-dispersion process Grünwald-Letnikov discretization of fractional derivatives

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Fractional derivatives and integrals (26A33) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

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