Numerical approximation of Lévy-Feller diffusion equation and its probability interpretation

Authors:
H. Zhang;F. Liu;V. Anh
Affiliations:
School of Mathematical Sciences, Xiamen University, Xiamen 361005, China and School of Mathematical and Computer Sciences, Fuzhou University, Fuzhou 350002, China;School of Mathematical Sciences, Xiamen University, Xiamen 361005, China and School of Mathematical Sciences, Queensland University of Technology, GPO Box 2434, Brisbane, Qld. 4001, Australia;School of Mathematical Sciences, Queensland University of Technology, GPO Box 2434, Brisbane, Qld. 4001, Australia
Venue:
Journal of Computational and Applied Mathematics
Year:
2007

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Abstract

In this paper, we consider the Levy-Feller fractional diffusion equation, which is obtained from the standard diffusion equation by replacing the second-order space derivative with a Riesz-Feller derivative of order @a@?(0,2](@a1) and skewness @q (|@q|=