SPACE-TIME DUALITY FOR FRACTIONAL DIFFUSION.
In: Journal of Applied Probability, Jg. 46 (2009-12-01), Heft 4, S. 1100-1115
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Zugriff:
Zolotarev (1961) proved a duality result that relates stable densities with different indices. In this paper we show how Zolotarev's duality leads to some interesting results on fractional diffusion. Fractional diffusion equations employ fractional derivatives in place of the usual integer-order derivatives. They govern scaling limits of random walk models, with power-law jumps leading to fractional derivatives in space, and power-law waiting times between the jumps leading to fractional derivatives in time. The limit process is a stable Levy motion that models the jumps, subordinated to an inverse stable process that models the waiting times. Using duality, we relate the density of a spectrally negative stable process with index 1 < α < 2 to the density of the hitting time of a stable subordinator with index 1/α, and thereby unify some recent results in the literature. These results provide a concrete interpretation of Zolotarev's duality in terms of the fractional diffusion model. They also illuminate a current controversy in hydrology, regarding the appropriate use of space- and time-fractional derivatives to model contaminant transport in river flows. [ABSTRACT FROM AUTHOR]
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Titel: |
SPACE-TIME DUALITY FOR FRACTIONAL DIFFUSION.
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Autor/in / Beteiligte Person: | Baeumer, Boris ; Meerschaert, Mark M. ; Nane, Erkan |
Zeitschrift: | Journal of Applied Probability, Jg. 46 (2009-12-01), Heft 4, S. 1100-1115 |
Veröffentlichung: | 2009 |
Medientyp: | academicJournal |
ISSN: | 0021-9002 (print) |
DOI: | 10.1239/jap/1261670691 |
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