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

DOI10.1016/j.cam.2007.10.052zbMath1153.65007MaRDI QIDQ955047

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

Fokker-Planck equation; numerical examples; stochastic processes; stochastic differential equations; Monte Carlo method; continuous time random walk; space-fractional diffusion equation; \(\alpha \)-stable distribution; space-fractional derivative

Mathematics Subject Classification ID

60G15: Gaussian processes

60G50: Sums of independent random variables; random walks

45K05: Integro-partial differential equations

26A33: Fractional derivatives and integrals

60J60: Diffusion processes

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

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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Cites Work

• From power laws to fractional diffusion: the direct way
• Random walks with infinite spatial and temporal moments
• The Fokker-Planck equation. Methods of solution and applications.
• Fractional Fokker–Planck equation for nonlinear stochastic differential equations driven by non-Gaussian Lévy stable noises
• Random Walks on Lattices. II
• The fundamental solution of the space-time fractional diffusion equation
• Random walk models approximating symmetric space-fractional diffusion processes
• Fractional kinetic equations: solutions and applications
• Chance and Stability
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