Related papers: Fractional material derivative: pointwise represen…
Problems of the numerical solution of the Cauchy problem for a first-order differential-operator equation are discussed. A fundamental feature of the problem under study is that the equation includes a fractional power of the self-adjoint…
In this paper, we study the numerical schemes for the two-dimensional Fokker-Planck equation governing the probability density function of the tempered fractional Brownian motion. The main challenges of the numerical schemes come from the…
Diffusive representations of fractional derivatives have proven to be useful tools in the construction of fast and memory efficient numerical methods for solving fractional differential equations. A common challenge in many of the known…
We introduce a variational theory for processes adapted to the multi-dimensional Brownian motion filtration. The theory provides a differential structure which describes the infinitesimal evolution of Wiener functionals at very small…
Integral transform method (Fourier or Laplace transform, etc) is more often effective to do the theoretical analysis for the stochastic processes. However, for the time-space coupled cases, e.g., L\'evy walk or nonlinear cases, integral…
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…
Fractional Brownian motion and the fractional Langevin equation are models of anomalous diffusion processes characterized by long-range power-law correlations in time. We employ large-scale computer simulations to study these models in two…
Since its formulation in the late 1940s, the Feynman-Kac formula has proven to be an effective tool for both theoretical reformulations and practical simulations of differential equations. The link it establishes between such equations and…
Fractional Cauchy problems replace the usual first-order time derivative by a fractional derivative. This paper develops classical solutions and stochastic analogues for fractional Cauchy problems in a bounded domain $D\subset\mathbb{R}^d$…
Fractional dynamics is a field of study in physics and mechanics investigating the behavior of objects and systems that are characterized by power-law non-locality, power-law long-term memory or fractal properties by using integrations and…
Motivated by the modeling of the spatial structure of the velocity field of three-dimensional turbulent flows, and the phenomenology of cascade phenomena, a linear dynamics has been recently proposed able to generate high velocity gradients…
We deliver a novel approach towards the variational description of Lagrangian mechanical systems subject to fractional damping by establishing a restricted Hamilton's principle. Fractional damping is a particular instance of non-local (in…
We consider correlated L\'evy walks on a class of two- and three-dimensional deterministic self-similar structures, with correlation between steps induced by the geometrical distribution of regions, featuring different diffusion properties.…
We introduce a novel spatio-temporal discretization for nonlinear Fokker-Planck equations on the multi-dimensional unit cube. This discretization is based on two structural properties of these equations: the first is the representation as a…
In this paper we investigate the porous medium equation with a fractional temporal derivative. We justify that the resulting equation emerges when we consider the waiting-time (or trapping) phenomenon that can happen in the medium. Our…
Fractional calculus provides a rigorous mathematical framework to describe anomalous stochastic processes by generalizing the notion of classical differential equations to their fractional-order counterparts. By introducing the fractional…
We show that the generalized diffusion coefficient of a subdiffusive intermittent map is a fractal function of control parameters. A modified continuous time random walk theory yields its coarse functional form and correctly describes a…
The paper presents a multidimensional model for nonlinear Markovian random walks that generalizes one we developed previously (Phys. Rev. E v.79, 011110, 2009) in order to describe the Levy type stochastic processes in terms of continuous…
Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…