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

DOI10.1016/j.jcp.2006.06.005zbMath1112.65006MaRDI 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

60G50: Sums of independent random variables; random walks

26A33: Fractional derivatives and integrals

60H30: Applications of stochastic analysis (to PDEs, etc.)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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Cites Work