A fractional PDE for first passage time of time-changed Brownian motion and its numerical solution

DOI10.1016/j.apnum.2019.07.020zbMath1440.60076OpenAlexW2964051170MaRDI QIDQ1989376

Enrica Pirozzi, Maria Francesca Carfora, Giacomo Ascione, Mario Abundo

Publication date: 21 April 2020

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2019.07.020

zbMATH Keywords

simulationCaputo fractional derivativecompact exponential implicit schemesub-diffusion processes

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)

Related Items

On the first-passage times of certain Gaussian processes, and related asymptotics

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