Efficient numerical solution of the time fractional diffusion equation by mapping from its Brownian counterpart

The solution of a Caputo time fractional diffusion equation of order $0<\alpha<1$ is expressed in terms of the solution of a corresponding integer order diffusion equation. We demonstrate a linear time mapping between these solutions that allows for accelerated computation of the solution of the fractional order problem. In the context of an $N$-point finite difference time discretisation, the mapping allows for an improvement in time computational complexity from $O\left(N^2\right)$ to $O\left(N^\alpha\right)$, given a precomputation of $O\left(N^{1+\alpha}\ln N\right)$. The mapping is applied successfully to the least-squares fitting of a fractional advection diffusion model for the current in a time-of-flight experiment, resulting in a computational speed up in the range of one to three orders of magnitude for realistic problem sizes.Comment: 9 pages, 5 figures; added references for section

Generating functional analysis of Minority Games with real market histories

It is shown how the generating functional method of De Dominicis can be used to solve the dynamics of the original version of the minority game (MG), in which agents observe real as opposed to fake market histories. Here one again finds exact closed equations for correlation and response functions, but now these are defined in terms of two connected effective non-Markovian stochastic processes: a single effective agent equation similar to that of the `fake' history models, and a second effective equation for the overall market bid itself (the latter is absent in `fake' history models). The result is an exact theory, from which one can calculate from first principles both the persistent observables in the MG and the distribution of history frequencies.Comment: 39 pages, 5 postscript figures, iop styl

Closed form summation of C-finite sequences

We consider sums of the form $$\sum_{j=0}^{n-1}F_1(a_1n+b_1j+c_1)F_2(a_2n+b_2j+c_2)... F_k(a_kn+b_kj+c_k),$$ in which each $\{F_i(n)\}$ is a sequence that satisfies a linear recurrence of degree $D(i)<\infty$, with constant coefficients. We assume further that the $a_i$'s and the $a_i+b_i$'s are all nonnegative integers. We prove that such a sum always has a closed form, in the sense that it evaluates to a linear combination of a finite set of monomials in the values of the sequences $\{F_i(n)\}$ with coefficients that are polynomials in $n$. We explicitly describe two different sets of monomials that will form such a linear combination, and give an algorithm for finding these closed forms, thereby completely automating the solution of this class of summation problems. We exhibit tools for determining when these explicit evaluations are unique of their type, and prove that in a number of interesting cases they are indeed unique. We also discuss some special features of the case of ``indefinite summation," in which $a_1=a_2=... = a_k = 0$

NumGfun: a Package for Numerical and Analytic Computation with D-finite Functions

This article describes the implementation in the software package NumGfun of classical algorithms that operate on solutions of linear differential equations or recurrence relations with polynomial coefficients, including what seems to be the first general implementation of the fast high-precision numerical evaluation algorithms of Chudnovsky & Chudnovsky. In some cases, our descriptions contain improvements over existing algorithms. We also provide references to relevant ideas not currently used in NumGfun

Connection problem for the sine-Gordon/Painlev\'e III tau function and irregular conformal blocks

The short-distance expansion of the tau function of the radial sine-Gordon/Painlev\'e III equation is given by a convergent series which involves irregular $c=1$ conformal blocks and possesses certain periodicity properties with respect to monodromy data. The long-distance irregular expansion exhibits a similar periodicity with respect to a different pair of coordinates on the monodromy manifold. This observation is used to conjecture an exact expression for the connection constant providing relative normalization of the two series. Up to an elementary prefactor, it is given by the generating function of the canonical transformation between the two sets of coordinates.Comment: 18 pages, 1 figur