*(English)*Zbl 1036.82019

Summary: The traditional second-order Fokker-Planck equation may not adequately describe the movement of solute in an aquifer because of large deviation from the dynamics of Brownian motion. Densities of $\alpha $-stable type have been used to describe the probability distribution of these motions. The resulting governing equation of these motions is similar to the traditional Fokker-Planck equation except that the order $\alpha $ of the highest derivative is fractional.

In this paper, a space fractional Fokker-Planck equation (SFFPE) with instantaneous source is considered. A numerical scheme for solving SFFPE is presented. Using the Riemann-Liouville and Grünwald-Letnikov definitions of fractional derivatives, the SFFPE is transformed into a system of ordinary differential equations (ODE). Then the ODE system is solved by a method of lines. Numerical results for SFFPE with a constant diffusion coefficient are evaluated for comparison with the known analytical solution. The numerical approximation of SFFPE with a time-dependent diffusion coefficient is also used to simulate Lévy motion with $\alpha $-stable densities. We will show that the numerical method of SFFPE is able to more accurately model these heavy-tailed motions.

##### MSC:

82C31 | Stochastic methods in time-dependent statistical mechanics |

26A33 | Fractional derivatives and integrals (real functions) |