This paper develops appropriate boundary conditions for the two-sided fractional diffusion equation, where the usual second derivative in space is replaced by a weighted average of positive and negative fractional derivatives. Mass preserving, reflecting boundary conditions for two-sided fractional diffusion involve a balance of left and right fractional derivatives at the boundary. Stable, con...

We study the first passage time (FPT) problem in Levy type of anomalous diffusion. Using the recently formulated fractional Fokker-Planck equation, we obtain an analytic expression for the FPT distribution which, in the large passage time limit, is characterized by a universal power law. Contrasting this power law with the asymptotic FPT distribution from another type of anomalous diffusion exe...

In this article we analyze a fully discrete numerical approximation to a time dependent fractional order diffusion equation which contains a non-local, quadratic non-linearity. The analysis is performed for a general fractional order diffusion operator. The non-linear term studied is a product of the unknown function and a convolution operator of order 0. Convergence of the approximation and a ...

The fractional Fokker-Planck equation is often used to characterize anomalous diffusion. In this paper, a fully discrete approximation for the nonlinear spatial fractional Fokker-Planck equation is given, where the discontinuous Galerkin finite element approach is utilized in time domain and the Galerkin finite element approach is utilized in spatial domain. The priori error estimate is derived...

We make use of fractional derivative, recently proposed by Caputo and Fabrizio, to modify the nonlinear Nagumo diffusion and convection equation. The proposed fractional derivative has no singular kernel considered as a filter. We examine the existence of the exact solution of the modified equation using the method of fixed-point theorem. We prove the uniqueness of the exact solution and presen...

The aim of this paper is to study a conservative wave equation coupled to a diffusion equation : this coupled system naturally arises in musical acoustics when viscous and thermal effects at the wall of the duct of a wind instrument are taken into account. The resulting equation, known as Webster-Lokshin model, has variable coefficients in space, and a fractional derivative in time. The port-Ha...

We develop a Hilbert expansion approach for the derivation of fractional diffusion equations from the linear Boltzmann equation with heavy tail equilibria. 1 Setting of the result 1.

This paper presents a general solution for a space-and time-fractional diffusionwave equation defined in a bounded space domain. The space-and time-fractional derivatives are described in the Caputo sense. The application of Adomian decomposition method, developed for differential equations of integer order, is extended to derive a general solution of the space-and time-fractional diffusionwave...

Abstract. Fractional Lévy motion (fLm) is the natural generalization of fractional Brownian motion in the context of self-similar stochastic processes and stable probability distributions. In this paper we give an explicit derivation of the propagator of fLm by using path integral methods. The propagators of Brownian motion and fractional Brownian motion are recovered as particular cases. The f...

We show that the increments of generalized Wiener process, useful to describe nonGaussian white noise sources, have the properties of infinitely divisible random processes. Using functional approach and the new correlation formula for non-Gaussian white noise we derive directly from Langevin equation, with such a random source, the Kolmogorov’s equation for Markovian non-Gaussian process. From ...