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Analysis of a discrete non-Markovian random walk approximation for the time fractional diffusion equation

Liu, Fawang, Shen, Shujun, Anh, Vo, & Turner, Ian (2005) Analysis of a discrete non-Markovian random walk approximation for the time fractional diffusion equation. The ANZIAM Journal, 46, C488-C504.

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Abstract

The time fractional diffusion equation (TFDE) is obtained from the standard diffusion equation by replacing the first-order time derivative with a fractional derivative of order in (0,1). In this work, an explicit finite-difference scheme for TFDE is presented. Discrete models of a non-Markovian random walk are generated for simulating random processes whose spatial probability density evolves in time according to this fractional diffusion equation. We derive the scaling restriction of the stability and convergence of the discrete non-Markovian random walk approximation for TFDE in a bounded domain. Finally, some numerical examples are presented to show the application of the present technique.

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ID Code: 22160
Item Type: Journal Article
Additional URLs:
ISSN: 1446-1811
Subjects: Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > PURE MATHEMATICS (010100) > Ordinary Differential Equations Difference Equations and Dynamical Systems (010109)
Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > NUMERICAL AND COMPUTATIONAL MATHEMATICS (010300) > Numerical Analysis (010301)
Australian and New Zealand Standard Research Classification > INFORMATION AND COMPUTING SCIENCES (080000) > COMPUTATION THEORY AND MATHEMATICS (080200)
Divisions: Past > QUT Faculties & Divisions > Faculty of Science and Technology
Copyright Owner: Copyright 2005 Australian Mathematical Society
Deposited On: 17 Jun 2009 23:06
Last Modified: 03 Mar 2012 17:32

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