Stochastic Representation and Monte Carlo Simulation for Multiterm Time‐Fractional Diffusion Equation

Longjin Lv and Luna Wang

Advances in Mathematical Physics, 2020, vol. 2020, issue 1

Abstract: In this paper, we mainly study the solution and properties of the multiterm time‐fractional diffusion equation. First, we obtained the stochastic representation for this equation, which turns to be a subordinated process. Based on the stochastic representation, we calculated the mean square displacement (MSD) and time average mean square displacement, then proved some properties of this model, including subdiffusion, generalized Einstein relationship, and nonergodicity. Finally, a stochastic simulation algorithm was developed for the visualization of sample path of the abnormal diffusion process. The Monte Carlo method was also employed to show the behavior of the solution of this fractional equation.

Date: 2020
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https://doi.org/10.1155/2020/1315426

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlamp:v:2020:y:2020:i:1:n:1315426

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