1,444 research outputs found
Non-Markovian diffusion equations and processes: analysis and simulations
In this paper we introduce and analyze a class of diffusion type equations
related to certain non-Markovian stochastic processes. We start from the
forward drift equation which is made non-local in time by the introduction of a
suitable chosen memory kernel K(t). The resulting non-Markovian equation can be
interpreted in a natural way as the evolution equation of the marginal density
function of a random time process l(t). We then consider the subordinated
process Y(t)=X(l(t)) where X(t) is a Markovian diffusion. The corresponding
time evolution of the marginal density function of Y(t) is governed by a
non-Markovian Fokker-Planck equation which involves the memory kernel K(t). We
develop several applications and derive the exact solutions. We consider
different stochastic models for the given equations providing path simulations.Comment: 43 pages, 19 figures, in press on Physica A (2008
The fundamental solutions for the fractional diffusion-wave equation
AbstractThe time fractional diffusion-wave equation is obtained from the classical diffusion or wave equation by replacing the first- or second-order time derivative by a fractional derivative of order 2β with 0 < β ≤ 12 or 12 < β ≤ 1, respectively. Using the method of the Laplace transform, it is shown that the fundamental solutions of the basic Cauchy and Signalling problems can be expressed in terms of an auxiliary function M(z;β), where z = |x|tβ is the similarity variable. Such function is proved to be an entire function of Wright type
Dispersion relations for the time-fractional Cattaneo-Maxwell heat equation
In this paper, after a brief review of the general theory of dispersive waves
in dissipative media, we present a complete discussion of the dispersion
relations for both the ordinary and the time-fractional Cattaneo-Maxwell heat
equations. Consequently, we provide a complete characterization of the group
and phase velocities for these two cases, together with some non-trivial
remarks on the nature of wave dispersion in fractional models.Comment: 18 pages, 7 figure
Subordination Pathways to Fractional Diffusion
The uncoupled Continuous Time Random Walk (CTRW) in one space-dimension and
under power law regime is splitted into three distinct random walks: (rw_1), a
random walk along the line of natural time, happening in operational time;
(rw_2), a random walk along the line of space, happening in operational
time;(rw_3), the inversion of (rw_1), namely a random walk along the line of
operational time, happening in natural time. Via the general integral equation
of CTRW and appropriate rescaling, the transition to the diffusion limit is
carried out for each of these three random walks. Combining the limits of
(rw_1) and (rw_2) we get the method of parametric subordination for generating
particle paths, whereas combination of (rw_2) and (rw_3) yields the
subordination integral for the sojourn probability density in space-time
fractional diffusion.Comment: 20 pages, 4 figure
Some applications of Wright functions in fractional differential equations
In this note we prove some new results about the application of Wright
functions of the first kind to solve fractional differential equations with
variable coefficients. Then, we consider some applications of these results in
order to obtain some new particular solutions for nonlinear fractional partial
differential equations
Energy propagation in linear hyperbolic systems
The concept of energy velocity for linear dispersive waves is usually given for a normal mode solution of the system as the ratio between the mean energy flux and the mean energy density. In the absence of dissipation this velocity is known to coincide with the corresponding group velocity. When dispersion is accompanied by dissipation, this interpretation is not correct since the group velocity loses its original meaning and can assume nonphysical values. In this note the relation between energy velocity and group velocity is derived for dissipative, uniaxial waves, governed by a linear hyperbolic system. An example is provided where the energy velocity is compared with the phase and group velocities
Two-particle anomalous diffusion: Probability density functions and self-similar stochastic processes
Two-particle dispersion is investigated in the context of anomalous diffusion. Two different modeling approaches related to time subordination are considered and unified in the framework of self-similar stochastic processes. By assuming a single-particle fractional Brownian motion and that the two-particle correlation function decreases in time with a power law, the particle relative separation density is computed for the cases with time subordination directed by a unilateral M-Wright density and by an extremal LĂ©vy stable density. Looking for advisable mathematical properties (for instance, the stationarity of the increments), the corresponding selfsimilar stochastic processes are represented in terms of fractional Brownian motions with stochastic variance, whose profile is modelled by using the M-Wright density or the LĂ©vy stable density
Variable-order fractional calculus: A change of perspective
Several approaches to the formulation of a fractional theory of calculus of “variable order” have appeared in the literature over the years. Unfortunately, most of these proposals lack a rigorous mathematical framework. We consider an alternative view on the problem, originally proposed by G. Scarpi in the early seventies, based on a naive modification of the representation in the Laplace domain of standard kernels functions involved in (constant-order) fractional calculus. We frame Scarpi's ideas within recent theory of General Fractional Derivatives and Integrals, that mostly rely on the Sonine condition, and investigate the main properties of the emerging variable-order operators. Then, taking advantage of powerful and easy-to-use numerical methods for the inversion of Laplace transforms of functions defined in the Laplace domain, we discuss some practical applications of the variable-order Scarpi integral and derivative
Generalized Fractional Master Equation for Self-Similar Stochastic Processes Modelling Anomalous Diffusion
The Master Equation approach to model anomalous diffusion is considered. Anomalous diffusion in complex media can be described as the result of a superposition mechanism reflecting
inhomogeneity and nonstationarity properties of the medium. For instance, when this superposition is applied to the time-fractional diffusion process, the resulting Master Equation emerges to be the governing equation of the Erdélyi-Kober fractional diffusion, that describes the evolution of the marginal distribution of the so-called generalized grey Brownian motion. This motion is a parametric class of stochastic processes that provides models for both fast and slow anomalous diffusion: it is made up of self-similar processes with stationary increments and depends on two real parameters. The class includes the fractional Brownian motion, the time-fractional diffusion stochastic processes, and the standard Brownian motion. In this framework, the M-Wright function (known also as Mainardi function) emerges as a natural generalization of the Gaussian distribution, recovering the same key role of the Gaussian density for the standard and the fractional Brownian motion
Spatially fractional-order viscoelasticity, non-locality and a new kind of anisotropy
Spatial non-locality of space-fractional viscoelastic equations of motion is
studied. Relaxation effects are accounted for by replacing second-order time
derivatives by lower-order fractional derivatives and their generalizations. It
is shown that space-fractional equations of motion of an order strictly less
than 2 allow for a new kind anisotropy, associated with angular dependence of
non-local interactions between stress and strain at different material points.
Constitutive equations of such viscoelastic media are determined. Explicit
fundamental solutions of the Cauchy problem are constructed for some cases
isotropic and anisotropic non-locality
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