Fractional Fokker-Planck dynamics: stochastic representation and computer simulation

Phys Rev E Stat Nonlin Soft Matter Phys. 2007 Jan;75(1 Pt 2):016708. doi: 10.1103/PhysRevE.75.016708. Epub 2007 Jan 26.

Abstract

A computer algorithm for the visualization of sample paths of anomalous diffusion processes is developed. It is based on the stochastic representation of the fractional Fokker-Planck equation describing anomalous diffusion in a nonconstant potential. Monte Carlo methods employing the introduced algorithm will surely provide tools for studying many relevant statistical characteristics of the fractional Fokker-Planck dynamics.