Generalization of Ehrenfest’s urn Model Diffusion Processes with Memory and Central Drift in a Potential Well Difference Schemes Random Walk Models Fractional Derivative Stochastic Processes 26A33 45K05 60J60 60G50 65N06
Issue Date:
2005
Publisher:
Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation:
Fractional Calculus and Applied Analysis, Vol. 8, No 2, (2005), 173p-200p
Abstract:
By generalization of Ehrenfest’s urn model, we obtain discrete approximations
to spatially one-dimensional time-fractional diffusion processes with
drift towards the origin. These discrete approximations can be interpreted
(a) as difference schemes for the relevant time-fractional partial differential
equation, (b) as random walk models. The relevant convergence questions as
well as the behaviour for time tending to infinity are discussed, and results
of numerical case studies are displayed.
See also, http://www.diss.fu-berlin.de/2004/168/index.html
