Related papers: CTRW Pathways to the Fractional Diffusion Equation
In this paper, we consider a type of continuous time random walk model where the jump length is correlated with the waiting time. The asymptotic behaviors of the coupled jump probability density function in the Fourier-Laplace domain are…
We study the causes of anomalous dispersion in Darcy-scale porous media characterized by spatially heterogeneous hydraulic properties. Spatial variability in hydraulic conductivity leads to spatial variability in the flow properties through…
A version of fractional diffusion on bounded domains, subject to 'homogeneous Dirichlet boundary conditions' is derived from a kinetic transport model with homogeneous inflow boundary conditions. For nonconvex domains, the result differs…
The continuous time random walks (CTRWs) are typically defned in the way that their trajectories are discontinuous step fuctions. This may be a unwellcome feature from the point of view of application of theese processes to model certain…
We derive diffusion constants and martingales for senile random walks with the help of a time-change. We provide direct computations of the diffusion constants for the time-changed walks. Alternatively, the values of these constants can be…
We derive the generalized master equation for reaction-diffusion on networks from an underlying stochastic process, the continuous time random walk (CTRW). The non-trivial incorporation of the reaction process into the CTRW is achieved by…
Functionals of Brownian/non-Brownian motions have diverse applications and attracted a lot of interest of scientists. This paper focuses on deriving the forward and backward fractional Feynman-Kac equations describing the distribution of…
This is a review of statistical inference methodology for stochastic differential equations driven by fractional Brownian motion, otherwise called fractional diffusions. The first section reviews the theory needed to rigorously define them.…
The partial differential equation of Gaussian diffusion is generalized by using the time-fractional derivative of distributed order between 0 and 1, in both the Riemann-Liouville (R-L) and the Caputo (C) sense. For a general distribution of…
We consider in this paper subdiffusion in a system with a thin membrane. The subdiffusion parameters are the same in both parts of the system separated by the membrane. Using the random walk model with discrete time and space variables the…
In this paper the solutions $u_{\nu}=u_{\nu}(x,t)$ to fractional diffusion equations of order $0<\nu \leq 2$ are analyzed and interpreted as densities of the composition of various types of stochastic processes. For the fractional equations…
The three-dimensional (3D) Fick's diffusion equation and fractional diffusion equation are solved for different reflecting boundaries. We use the continuous time random walk model (CTRW) to investigate the time averaged mean square…
Continuous time random walks have been developed as a straightforward generalisation of classical random walk processes. Some 10 years ago, Fogedby introduced a continuous representation of these processes by means of a set of Langevin…
We complement the theory of tick-by-tick dynamics of financial markets based on a Continuous-Time Random Walk (CTRW) model recently proposed by Scalas et al., and we point out its consistency with the behaviour observed in the waiting-time…
Continuous-time random walks (CTRWs) with drift and position-dependent jumps provide a general framework for describing a wide range of natural and engineered systems. We analyze the stochastic differential equation associated with this…
Diffusive transport in many complex systems features a crossover between anomalous diffusion at short times and normal diffusion at long times. This behavior can be mathematically modeled by cutting off (tempering) beyond a mesoscopic…
We show that the anomalous diffusion equations with a fractional derivative in the Caputo or Riesz sense are strictly related to the special convolution properties of the L\'evy stable distributions which stem from the evolution properties…
In this paper we present an integro-differential diffusion equation for continuous time random walk that is valid for a generic waiting time probability density function. Using this equation we also study diffusion behaviors for a couple of…
Mathematical models of motility are often based on random-walk descriptions of discrete individuals that can move according to certain rules. It is usually the case that large masses concentrated in small regions of space have a great…
This paper is concerned with the mathematical analysis of the inverse random source problem for the time fractional diffusion equation, where the source is assumed to be driven by a fractional Brownian motion. Given the random source, the…