Output details

Monte Carlo simulation of uncoupled continuous-time random walks yielding a stochastic solution of the space-time fractional diffusion equation

<13>We made the stochastic solution of fractional diffusion equations much easier and faster (about 5000 times faster than with previous methods) by using a one-line transformation method for the generation of Mittag-Leffler random numbers. With our procedure, the stochastic solution for the more general fractional case becomes as viable as for the standard case. We showed this not only in theory, but also by simulation. Fractional diffusion is a versatile quantitative model used in many areas of science, including finance. At a distance of five years, I am still invited to conferences, e.g. AMMCS2013, to talk about this methodological breakthrough.