Fractional-order diffusion equations are viewed as generalizations of classical diffusion equations, treating super-diffusive flow processes. In this paper, in order to solve the fractional advection-diffusion equation, the fractional characteristic finite difference method is presented, which is based on the method of characteristics (MOC) and fractional finite difference (FD) procedures. The ...

The role of external forces in systems exhibiting anomalous diffusion is discussed on the basis of the describing Langevin equations. Since there exist different possibilities to include the effect of an external field the concept of biasing and decoupled external fields is introduced. Complementary to the recently established Langevin equations for anomalous diffusion in a time-dependent exter...

Unbounded stochastic control problems may lead to Hamilton-Jacobi-Bellman equations whose Hamiltonians are not always defined, especially when the diffusion term is unbounded with respect to the control. We obtain existence and uniqueness of viscosity solutions growing at most like o(1+ |x|p) at infinity for such HJB equations and more generally for degenerate parabolic equations with a superli...

Convection-diffusion problem are the base for continuum mechanics. The main features of these problems are associated with an indefinite operator the problem. In this work we construct unconditionally stable scheme for non-stationary convection-diffusion equations, which are based on use of new variables. Also, we consider these equations in the form of convection-diffusion-reaction and constru...

in order to present a new and high performance structure of pem fuel cell and study the influence of the flow direction and distribution on the rate of reactants diffusion, three novel models of vertical reactant flow injection into the anode and cathode reaction area field have been introduced. they consist of one inlet and two inlets and also a continuous channel. the governing equations on t...

In this article, we propose a numerical algorithm for computing price of discrete single and double barrier option under the emph{Black-Scholes} model. In virtue of some general transformations, the partial differential equations of option pricing in different monitoring dates are converted into simple diffusion equations. The present method is fast compared to alterna...

We present an exact mathematical transformation which converts a wide class of advection-diffusion equations into a form allowing simple and direct spatial discretization in all dimensions, and thus the construction of accurate and more efficient numerical algorithms. These discretized forms can also be viewed as master equations which provide an alternative mesoscopic interpretation of advecti...

In this article we use discrete collocation method for solving Fredholm–Volterra integro– differential equations, because these kinds of integral equations are used in applied sciences and engineering such as models of epidemic diffusion, population dynamics, reaction–diffusion in small cells. Also the above integral equations with convolution kernel will be solved by discrete collocation metho...

Established mathematical techniques to model the energy density of high-frequency waves in random media by radiative transfer equations and to model the small mean-free-path limit of radiative transfer solutions by diffusion equations are reviewed. These techniques are then applied to the derivation of radiative transfer and diffusion equations for the radiance, also known as specific intensity...

Classical and anomalous diffusion equations employ integer derivatives, fractional derivatives, and other pseudodifferential operators in space. In this paper we show that replacing the integer time derivative by a fractional derivative subordinates the original stochastic solution to an inverse stable subordinator process whose probability distributions are Mittag-Leffler type. This leads to e...