Fractional Diffusion: Formulation and Discretization
Jan. 24, 2018
3:00 pm PHG 646
Abstract
Anomalous diffusion processes are ubiquitous in physical, biological
and social sciences as well as finance. They lead to non-local models,
one of which is fractional diffusion. In view of its importance in
basic science and applications, the efficient numerical approximation
of fractional diffusion is a central theme of research. This talk
surveys three numerical schemes that build on different definitions of
fractional diffusion. The first method is the integral formulation and
deals with singular non-integrable kernels. The second method is a PDE
approach that applies to the spectral definition and exploits the
extension to one higher dimension. The third method is a
discretization of the Dunford-Taylor formula. We discuss pros and cons
of each method, error estimates, and document their performance with a
few numerical experiments.
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