Approximation of the Levy-Feller advection-dispersion process by random walk and finite difference method
In this paper we present a random walk model for approximating a Levy Feller advection-dispersion process, governed by the Levy-Feller advection-dispersion differential equation (LFADE). We show that the random walk model converges to LFADE by use of a properly scaled transition to vanishing space and time steps. We propose an explicit finite difference approximation (EFDA) for LFADE, resulting from the Grunwald-Letnikov discretization of fractional derivatives. As a result of the interpretation of the random walk model, the stability and convergence of EFDA for LFADE in a bounded domain are discussed. Finally, some numerical examples are presented to show the application of the present technique. (c) 2006 Published by Elsevier Inc.
levy-feller advection-dispersion process finite difference approximation discrete random walk model stability analysis convergence analysis