Simulation of the continuous time random walk of the space-fractional diffusion equations

DOI10.1016/J.CAM.2007.10.052MaRDI QIDQ955047zbMATH OpenOpenAlexFDO

Authors Rudolf Gorenflo, Entsar A. Abdel-Rehim

Publication date 18 November 2008

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.2007.10.052

zbMATH Keywords

numerical examplesstochastic processesFokker-Planck equationMonte Carlo methodstochastic differential equationsspace-fractional diffusion equationcontinuous time random walk\(\alpha \)-stable distributionspace-fractional derivative

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Sums of independent random variables; random walks (60G50) Integro-partial differential equations (45K05) Fractional derivatives and integrals (26A33) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(15)

• From power laws to fractional diffusion processes with and without external forces, the non direct way
• A new numerical algorithm for solving a class of fractional advection-dispersion equation with variable coefficients using Jacobi polynomials
• Time fractional diffusion: A discrete random walk approach
• Fundamental solutions of the fractional diffusion and the fractional Fokker-Planck equations
• From the space-time fractional integral of the continuous time random walk to the space-time fractional diffusion equations, a short proof and simulation
• scientific article; zbMATH DE number 6695235 (Why is no real title available?)
• A spectral Legendre-Gauss-Lobatto collocation method for a space-fractional advection diffusion equations with variable coefficients
• The time-fractional radiative transport equation—Continuous-time random walk, diffusion approximation, and Legendre-polynomial expansion
• Implicit difference scheme of the space-time fractional advection diffusion equation
• Stable Lévy diffusion and related model fitting
• Analytic solution to space-fractional Fokker-Planck equations for tempered-stable Lévy distributions with spatially linear, time-dependent drift
• Anomalous diffusion modeling by fractal and fractional derivatives
• The need for the fractional operators
• On partially inexact HSS iteration methods for the complex symmetric linear systems in space fractional CNLS equations
• Simulation of drift-diffusion process at high Péclet numbers by the random walk on spheres method

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