Monte Carlo Random Walk Simulations Based on Distributed Order Differential Equations

Details Monte Carlo Random Walk Simulations Based on Distributed Order Differential Equations Monte Carlo Random Walk Simulations Based on Distributed Order Differential Equations

2006-06-30

arxiv.org/abs/math/0606797v1

Mathematics

Dynamical Systems

18 pages. Submitted to Fractional Calculus and Applied Analysis

Scientific paper

In this paper the multi-dimensional random walk models governed by distributed fractional order differential equations and multi-term fractional order differential equations are constructed. The scaling limits of these random walks to a diffusion process in the sense of distributions is proved. Simulations based upon multi-term fractional order differential equations are performed.

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