Subordination Approach to Space-Time Fractional Diffusion

Continuous time random walk and parametric subordination in fractional diffusion

The well-scaled transition to the diffusion limit in the framework of the theory of continuous-time random walk (CTRW) is presented starting from its representation as an infinite series that points out the subordinated character of the CTRW itself. We treat the CTRW as a combination of a random walk on the axis of physical time with a random walk in space, both walks happening in discrete oper...

Subordination formulae for space-time fractional diffusion processes via Mellin convolution

Fundamental solutions of space-time fractional diffusion equations can be interpret as probability density functions. This fact creates a strong link with stochastic processes. Recasting probability density functions in terms of subordination laws has emerged to be important to built up stochastic processes. In particular, for diffusion processes, subordination can be understood as a diffusive ...

Space-time duality for fractional diffusion

Zolotarev proved a duality result that relates stable densities with different indices. In this paper, we show how Zolotarev duality leads to some interesting results on fractional diffusion. Fractional diffusion equations employ fractional derivatives in place of the usual integer order derivatives. They govern scaling limits of random walk models, with power law jumps leading to fractional de...

Space–time fractional diffusion on bounded domains

An Implicit Difference-ADI Method for the Two-dimensional Space-time Fractional Diffusion Equation

Fractional order diffusion equations are generalizations of classical diffusion equations which are used to model in physics, finance, engineering, etc. In this paper we present an implicit difference approximation by using the alternating directions implicit (ADI) approach to solve the two-dimensional space-time fractional diffusion equation (2DSTFDE) on a finite domain. Consistency, unconditi...