Stochastic Models for Fractional Calculus / / Mark M. Meerschaert, Alla Sikorskii.
Fractional calculus is a rapidly growing field of research, at the interface between probability, differential equations, and mathematical physics. It is used to model anomalous diffusion, in which a cloud of particles spreads in a different manner than traditional diffusion. This monograph develops...
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Superior document: | Title is part of eBook package: De Gruyter DG Studies in Mathematics eBook-Package |
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Place / Publishing House: | Berlin ;, Boston : : De Gruyter, , [2011] ©2012 |
Year of Publication: | 2011 |
Language: | English |
Series: | De Gruyter Studies in Mathematics ,
43 |
Online Access: | |
Physical Description: | 1 online resource (291 p.) |
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Other title: | Frontmatter -- Preface -- Acknowledgments -- Contents -- Chapter 1. Introduction -- Chapter 2. Fractional Derivatives -- Chapter 3. Stable Limit Distributions -- Chapter 4. Continuous Time Random Walks -- Chapter 5. Computations in R -- Chapter 6. Vector Fractional Diffusion -- Chapter 7. Applications and Extensions -- Bibliography -- Index |
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Summary: | Fractional calculus is a rapidly growing field of research, at the interface between probability, differential equations, and mathematical physics. It is used to model anomalous diffusion, in which a cloud of particles spreads in a different manner than traditional diffusion. This monograph develops the basic theory of fractional calculus and anomalous diffusion, from the point of view of probability. In this book, we will see how fractional calculus and anomalous diffusion can be understood at a deep and intuitive level, using ideas from probability. It covers basic limit theorems for random variables and random vectors with heavy tails. This includes regular variation, triangular arrays, infinitely divisible laws, random walks, and stochastic process convergence in the Skorokhod topology. The basic ideas of fractional calculus and anomalous diffusion are closely connected with heavy tail limit theorems. Heavy tails are applied in finance, insurance, physics, geophysics, cell biology, ecology, medicine, and computer engineering. The goal of this book is to prepare graduate students in probability for research in the area of fractional calculus, anomalous diffusion, and heavy tails. Many interesting problems in this area remain open. This book will guide the motivated reader to understand the essential background needed to read and unerstand current research papers, and to gain the insights and techniques needed to begin making their own contributions to this rapidly growing field. |
Format: | Mode of access: Internet via World Wide Web. |
ISBN: | 9783110258165 9783110494938 9783110238570 9783110238471 9783110637205 9783110261189 9783110261233 9783110261202 |
ISSN: | 0179-0986 ; |
DOI: | 10.1515/9783110258165 |
Access: | restricted access |
Hierarchical level: | Monograph |
Statement of Responsibility: | Mark M. Meerschaert, Alla Sikorskii. |