Lie symmetry analysis, conservation laws and numerical approximations of time-fractional Fokker–Planck equations for special stochastic process in foreign exchange markets
Sign Up to like & getrecommendations! Published in 2019 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2018.08.155
Abstract: Abstract In this paper the transition joint probability density function of the solution of the Ornstein–Uhlenbeck process is presented by a deterministic parabolic time-fractional PDE (FPDE), named time-fractional Fokker–Planck equation. The article generally is divided… read more here.
Keywords: fokker planck; time; fractional fokker; process ... See more keywords
On a numerical investigation of the time fractional Fokker– Planck equation via local discontinuous Galerkin method
Sign Up to like & getrecommendations! Published in 2017 at "International Journal of Computer Mathematics"
DOI: 10.1080/00207160.2016.1247442
Abstract: ABSTRACT This paper presents two numerical solutions of time fractional Fokker– Planck equations (TFFPE) based on the local discontinuous Galerkin method (LDGM). Two time-discretization schemes for the fractional order part of TFFPE are investigated. The… read more here.
Keywords: fokker planck; discontinuous galerkin; time fractional; time ... See more keywords