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

\(\alpha \)-stable distributioncontinuous time random walkFokker-Planck equationMonte Carlo methodnumerical examplesspace-fractional derivativespace-fractional diffusion equationstochastic differential equationsstochastic processes

Mathematics Subject Classification ID

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

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Cited in

(17)

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

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