Discrete and Continuous Random Walk Models for Space-Time Fractional Diffusion

A mathematical approach to anomalous diffusion may be based on generalized diffusion equations (containing derivatives of fractional order in space or/and time) and related random walk models. A more general approach is however provided by the integral equation for the so-called continuous time random walk (CTRW), which can be understood as a random walk subordinated to a renewal process. We show how this integral equation reduces to our fractional diffusion equations by a properly scaled passage to the limit of compressed waiting times and jumps. The essential assumption is that the probabilities for waiting times and jumps behave asymptotically like powers with negative exponents related to the orders of the fractional derivatives. Illustrating examples are given, numerical results and plots of simulations are displayed.     

The time fractional diffusion-wave equation

The time fractional diffusion-wave equation is obtained from the classical diffusion or wave equation by replacing the first- or second-order time derivative by a fractional derivative of order 2β with 0<β≤1/2 or 1/2<β≤1, respectively. Using the method of the Laplace transform, it is shown that the fundamental solutions of the basic Cauchy and signalling problems can be expressed in terms of an auxiliary function M (z; β), where z is the similarity variable. Such function, which reduces to the well-known Gaussian function for β=1/2 (ordinary diffusion), is proved to be an entire function of Wright type.     

Some properties of the fundamental solution to the signalling problem for the fractional diffusion-wave equation

In this paper, the one-dimensional time-fractional diffusion-wave equation with the Caputo fractional derivative of order α, 1 ≤ α ≤ 2 and with constant coefficients is revisited. It is known that the diffusion and the wave equations behave quite differently regarding their response to a localized disturbance. Whereas the diffusion equation describes a process where a disturbance spreads infinitely fast, the propagation speed of the disturbance is a constant for the wave equation. We show that the time-fractional diffusion-wave equation interpolates between these two different responses and investigate the behavior of its fundamental solution for the signalling problem in detail. In particular, the maximum location, the maximum value, and the propagation velocity of the maximum point of the fundamental solution for the signalling problem are described analytically and calculated numerically.     

Discrete and Continuous Random Walk Models for Space-Time Fractional Diffusion

A mathematical approach to anomalous diffusion may be based on generalized diffusion equations (containing derivatives of fractional order in space or/and time) and related random walk models. A more general approach is however provided by the integral equation for the so-called continuous time random walk (CTRW), which can be understood as a random walk subordinated to a renewal process. We show how this integral equation reduces to our fractional diffusion equations by a properly scaled passage to the limit of compressed waiting times and jumps. The essential assumption is that the probabilities for waiting times and jumps behave asymptotically like powers with negative exponents related to the orders of the fractional derivatives. Illustrating examples are given, numerical results and plots of simulations are displayed.     

Why the Mittag-Leffler Function Can Be Considered the Queen Function of the Fractional Calculus?

In this survey we stress the importance of the higher transcendental Mittag-Leffler function in the framework of the Fractional Calculus. We first start with the analytical properties of the classical Mittag-Leffler function as derived from being the solution of the simplest fractional differential equation governing relaxation processes. Through the sections of the text we plan to address the reader in this pathway towards the main applications of the Mittag-Leffler function that has induced us in the past to define it as the Queen Function of the Fractional Calculus. These applications concern some noteworthy stochastic processes and the time fractional diffusion-wave equation We expect that in the next future this function will gain more credit in the science of complex systems. Finally, in an appendix we sketch some historical aspects related to the author’s acquaintance with this function.     

Some recent advances in theory and simulation of fractional diffusion processes

To offer an insight into the rapidly developing theory of fractional diffusion processes, we describe in some detail three topics of current interest: (i) the well-scaled passage to the limit from continuous time random walk under power law assumptions to space-time fractional diffusion, (ii) the asymptotic universality of the Mittag–Leffler waiting time law in time-fractional processes, (iii) our method of parametric subordination for generating particle trajectories.     

Creep,relaxation and viscosity properties for basic fractional models in rheology

The purpose of this paper is twofold: from one side we provide a general survey to the viscoelastic models constructed via fractional calculus and from the other side we intend to analyze the basic fractional models as far as their creep, relaxation and viscosity properties are considered. The basic models are those that generalize via derivatives of fractional order the classical mechanical models characterized by two, three and four parameters, that we refer to as Kelvin–Voigt, Maxwell, Zener, anti–Zener and Burgers. For each fractional model we provide plots of the creep compliance, relaxation modulus and effective viscosity in non dimensional form in terms of a suitable time scale for different values of the order of fractional derivative. We also discuss the role of the order of fractional derivative in modifying the properties of the classical models.     

Time Fractional Diffusion: A Discrete Random Walk Approach

The time fractional diffusion equation is obtained from the standarddiffusion equation by replacing the first-order time derivative with afractional derivative of order (0, 1). From a physicalview-point this generalized diffusion equation is obtained from afractional Fick law which describes transport processes with longmemory. The fundamental solution for the Cauchy problem is interpretedas a probability density of a self-similar non-Markovian stochasticprocess related to a phenomenon of slow anomalous diffusion. By adoptinga suitable finite-difference scheme of solution, we generate discretemodels of random walk suitable for simulating random variables whosespatial probability density evolves in time according to this fractionaldiffusion equation.