Related papers: High order schemes for the tempered fractional dif…
Anomalous diffusion and L\'evy flights, which are characterized by the occurrence of random discrete jumps of all scales, have been observed in a plethora of natural and engineered systems, ranging from the motion of molecules to climate…
To achieve efficient and accurate long-time integration, we propose a fast, accurate, and stable high-order numerical method for solving fractional-in-space reaction-diffusion equations. The proposed method is explicit in nature and…
We study boundary traces of shift-invariant diffusions: two-dimensional diffusions in the upper half-plane $\mathbb{R} \times [0, \infty)$ (or in $\mathbb{R} \times [0, R)$) invariant under horizontal translations. We prove that the…
There are given sufficient conditions under which mixtures of dilations of L\'evy spectral measures, on a Hilbert space, are L\'evy measures again. We introduce some random integrals with respect to infinite dimensional L\'evy processes,…
We introduce a notion of geometric tempering using exponentially-dampened Mittag-Leffler tempering functions and closely investigate the univariate case. Characteristic exponents and cumulants are calculated, as well as spectral densities.…
In this paper, a compact alternating direction implicit (ADI) finite difference scheme for the two-dimensional time fractional diffusion-wave equation is developed, with temporal and spatial accuracy order equal to two and four…
For characterizing the Brownian motion in a bounded domain: $\Omega$, it is well-known that the boundary conditions of the classical diffusion equation just rely on the given information of the solution along the boundary of a domain; on…
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely studied problems is that of estimation of the quadratic…
The estimation of the L\'{e}vy density, the infinite-dimensional parameter controlling the jump dynamics of a L\'{e}vy process, is considered here under a discrete-sampling scheme. In this setting, the jumps are latent variables, the…
An explicit first-order drift-randomized Milstein scheme for a regime switching stochastic differential equation is proposed and its bi-stability and rate of strong convergence are investigated for a non-differentiable drift coefficient.…
Among Markovian processes, the hallmark of L\'evy flights is superdiffusion, or faster-than-Brownian dynamics. Here we show that L\'evy laws, as well as Gaussians, can also be the limit distributions of processes with long range memory that…
Mathematical modeling of many physical processes such as diffusion, viscosity of fluids and combustion involves differential equations with small coefficients of higher derivatives. These may be small diffusion coefficients for modeling the…
The diffusion of a walk in the presence of traps is investigated. Different diffusion regimes are obtained considering the magnitude of the fluctuations in waiting times and jump distances. A constant velocity during the jump motion is…
The generalized correlation approach, which has been successfully used in statistical radio physics to describe non-Gaussian random processes, is proposed to describe stochastic financial processes. The generalized correlation approach has…
In this paper, we propose a high order residual distribution conservative finite difference scheme for solving steady state conservation laws. A new type of WENO (weighted essentially non-oscillatory) termed as WENO-ZQ integration is used…
We discuss diffusion properties of a dynamical system, which is characterised by long-tail distributions and finite correlations. The particle velocity has the stable L\'evy distribution; it is assumed as a jumping process (the kangaroo…
The objective of this work is to investigate the utility and effectiveness of the high-order scheme for simulating unsteady turbulent flows. To achieve it, the studies were conducted from two perspectives: (i) the ability of different…
A mass-preserving two-step Lagrange-Galerkin scheme of second order in time for convection-diffusion problems is presented, and convergence with optimal error estimates is proved in the framework of $L^2$-theory. The introduced scheme…
We propose and study discontinuous Galerkin methods for strongly degenerate convection-diffusion equations perturbed by a fractional diffusion (L\'evy) operator. We prove various stability estimates along with convergence results toward…
We investigate evolution equations for anomalous diffusion employing fractional derivatives in space and time. Linkage between the space-time variables leads to a new type of fractional derivative operator. Fractional diffusion equations…