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Simulation of the continuous time random walk of the space-fractional diffusion equations. (English) Zbl 1153.65007
Summary: We discuss the solution of the space-fractional diffusion equation with and without central linear drift in the Fourier domain and show the strong connection between it and the $\alpha $-stable Lévy distribution, $0<\alpha <2$. We use some relevant transformations of the independent variables $x$ and $t$, to find the solution of the space-fractional diffusion equation with central linear drift which is a special form of the space-fractional Fokker-Planck equation which is useful in studying the dynamic behaviour of stochastic differential equations driven by the non-Gaussian (Lévy) noises. We simulate the continuous time random walk of these models by using the Monte Carlo method.

MSC:
65C30Stochastic differential and integral equations
26A33Fractional derivatives and integrals (real functions)
45K05Integro-partial differential equations
60J60Diffusion processes
60G50Sums of independent random variables; random walks
60G15Gaussian processes
60H15Stochastic partial differential equations
60H35Computational methods for stochastic equations
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References:
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