Search Results - subject:"Fractional diffusion"

The use of partial fractional form of A-stable Padé schemes for the solution of fractional diffusion equation with application in option pricing

Ghafouri, Hamideh; Ranjbar, Mojtaba; Khani, Ali - In: Computational economics 56 (2020) 4, pp. 695-709

Persistent link: https://www.econbiz.de/10012390443

Exact solutions of a modified fractional diffusion equation in the finite and semi-infinite domains

Guo, Gang; Li, Kun; Wang, Yuhui - In: Physica A: Statistical Mechanics and its Applications 417 (2015) C, pp. 193-201

We investigate the solutions of a modified fractional diffusion equation which has a secondary fractional time …

Persistent link: https://www.econbiz.de/10011077855

Fractional diffusion limit for a stochastic kinetic equation

De Moor, Sylvain - In: Stochastic Processes and their Applications 124 (2014) 3, pp. 1335-1367

We study the stochastic fractional diffusive limit of a kinetic equation involving a small parameter and perturbed by a smooth random term. Generalizing the method of perturbed test functions, under an appropriate scaling for the small parameter, and with the moment method used in the...

Persistent link: https://www.econbiz.de/10010875080

Space–time fractional diffusion equations and asymptotic behaviors of a coupled continuous time random walk model

Shi, Long; Yu, Zuguo; Mao, Zhi; Xiao, Aiguo; Huang, Hailan - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 23, pp. 5801-5807

discussed. The corresponding fractional diffusion equations are derived from the given asymptotic behaviors. Corresponding to …

Persistent link: https://www.econbiz.de/10010703207

Regularization methods for unknown source in space fractional diffusion equation

Tian, WenYi; Li, Can; Deng, Weihua; Wu, Yujiang - In: Mathematics and Computers in Simulation (MATCOM) 85 (2012) C, pp. 45-56

We discuss determining the unknown steady source in a space fractional diffusion equation and show that both the …

Persistent link: https://www.econbiz.de/10010751843

Design for estimation of the drift parameter in fractional diffusion systems

Brouste, Alexandre; Kleptsyna, Marina; Popier, Alexandre - In: Statistical Inference for Stochastic Processes 15 (2012) 2, pp. 133-149

Persistent link: https://www.econbiz.de/10010556973

Generalized space–time fractional diffusion equation with composite fractional time derivative

Tomovski, Živorad; Sandev, Trifce; Metzler, Ralf; … - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 8, pp. 2527-2542

We investigate the solution of space–time fractional diffusion equations with a generalized Riemann–Liouville time … solve the proposed fractional diffusion equation. The results are represented by using the Mittag-Leffler functions and the …–Letnikov approximation are also used to solve the space–time fractional diffusion equation. The fractional moments of the fundamental …

Persistent link: https://www.econbiz.de/10011060629

Asymptotic properties of MLE for partially observed fractional diffusion system

Brouste, Alexandre; Kleptsyna, Marina - In: Statistical Inference for Stochastic Processes 13 (2010) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10008533936

The superdiffusion entropy production paradox in the space-fractional case for extended entropies

Prehl, J.; Essex, C.; Hoffmann, K.H. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 2, pp. 215-224

discovered in time-fractional diffusion equations. It was found to persist for extended entropies and for space-fractional … in the space-fractional case. Complications arising due to the heavy tail solutions of space-fractional diffusion … diffusion as well. This paper completes the possibilities by showing that the paradox persists for Tsallis and Rényi entropies …

Persistent link: https://www.econbiz.de/10010590716

The influence of fractality on the time evolution of the diffusion process

Şirin, H.; Büyükkılıç, F.; Ertik, H.; Demirhan, D. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 10, pp. 2007-2013

In the literature, the deviations from standard behaviors of the solutions of the kinetic equation and the analogous diffusion equation are put forward by investigations which are carried out in the frame of fractional mathematics and nonextensive physics. On the other hand, the physical origins...

Persistent link: https://www.econbiz.de/10011061520