Random walk models approximating symmetric space-fractional diffusion processes

MaRDI QIDQ4550097zbMATH OpenFDO

Authors Rudolf Gorenflo, Francesco Mainardi

Publication date 3 November 2002

Full work available at URL https://arxiv.org/abs/1210.6589

zbMATH Keywords

approximationLévy-Feller processpseudo-differential operatorrandom walk

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Integral transforms of special functions (44A20) Integro-partial differential equations (45K05) Infinitely divisible distributions; stable distributions (60E07) Sums of independent random variables; random walks (60G50) Diffusion processes (60J60)

Abstract: For the symmetric case of space-fractional diffusion processes (whose basic analytic theory has been developed in 1952 by Feller via inversion of Riesz potential operators) we present three random walk models discrete in space and time. We show that for properly scaled transition to vanishing space and time steps these models converge in distribution to the corresponding time-parameterized stable probability distribution. Finally, we analyze in detail a model, discrete in time but continuous in space, recently proposed by Chechkin and Gonchar. Concerning the inversion of the Riesz potential operator $I_0^{a}lpha$ let us point out that its common hyper-singular integral representation fails for $alpha=1.InourSection2wehaveshownthatthecorrespondinghyper-singularrepresentationfortheinverseoperator$D_0^alpha$canbeobtainedalsointhecritical(oftenexcluded)case$alpha = 1$, by analytic continuation

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