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Zbl 1036.82019
Liu, F.; Anh, V.; Turner, I.
(Liu, Fa Wang)
Numerical solution of the space fractional Fokker--Planck equation.
(English)
[J] J. Comput. Appl. Math. 166, No. 1, 209-219 (2004). ISSN 0377-0427

Summary: The traditional second-order Fokker-Planck equation may not adequately describe the movement of solute in an aquifer because of large deviation from the dynamics of Brownian motion. Densities of $\alpha$-stable type have been used to describe the probability distribution of these motions. The resulting governing equation of these motions is similar to the traditional Fokker-Planck equation except that the order $\alpha$ of the highest derivative is fractional.\par In this paper, a space fractional Fokker-Planck equation (SFFPE) with instantaneous source is considered. A numerical scheme for solving SFFPE is presented. Using the Riemann-Liouville and Grünwald-Letnikov definitions of fractional derivatives, the SFFPE is transformed into a system of ordinary differential equations (ODE). Then the ODE system is solved by a method of lines. Numerical results for SFFPE with a constant diffusion coefficient are evaluated for comparison with the known analytical solution. The numerical approximation of SFFPE with a time-dependent diffusion coefficient is also used to simulate Lévy motion with $\alpha$-stable densities. We will show that the numerical method of SFFPE is able to more accurately model these heavy-tailed motions.
MSC 2000:
*82C31 Stochastic methods in time-dependent statistical mechanics
26A33 Fractional derivatives and integrals (real functions)

Keywords: Fractional derivative; Fokker--Planck equation; $\alpha$-stable densities; Lévy motion; Heavy-tailed motions

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