Numerical solution of the space fractional Fokker-Planck equation
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 α-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 α of the highest derivative is fractional.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 α-stable densities. We will show that the numerical method of SFFPE is able to more accurately model these heavy-tailed motions.
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|Item Type:||Journal Article|
|Additional Information:||For more information, please refer to the journal’s website (see hypertext link) or contact the author.|
|Keywords:||Fractional derivative, Fokker–Planck equation, α, stable densities, Lévy motion, Heavy, tailed motions|
|Divisions:||Past > QUT Faculties & Divisions > Faculty of Science and Technology|
|Copyright Owner:||Copyright 2004 Elsevier|
|Deposited On:||12 Oct 2007 00:00|
|Last Modified:||01 Mar 2012 09:27|
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