Fractional Fokker-Planck Equation

Gerd Baumann and Frank Stenger
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Gerd Baumann: Mathematics Department, German University in Cairo, New Cairo City 11835, Egypt
Frank Stenger: University of Utah, Salt Lake City, UT 84112, USA

Mathematics, 2017, vol. 5, issue 1, 1-19

Abstract: We shall discuss the numerical solution of the Cauchy problem for the fully fractional Fokker-Planck (fFP) equation in connection with Sinc convolution methods. The numerical approximation is based on Caputo and Riesz-Feller fractional derivatives. The use of the transfer function in Laplace and Fourier spaces in connection with Sinc convolutions allow to find exponentially converging computing schemes. Examples using different initial conditions demonstrate the effective computations with a small number of grid points on an infinite spatial domain.

Keywords: sinc methods; approximation; computation; integral equations; Riesz-Feller derivative; Caputo derivative; fractional Fokker Planck equation (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2017
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