IDEAS home Printed from https://ideas.repec.org/a/eee/chsofr/v105y2017icp99-110.html
   My bibliography  Save this article

Numerical solution for fractional model of Fokker-Planck equation by using q-HATM

Author

Listed:
  • Prakash, Amit
  • Kaur, Hardish

Abstract

In this paper, we present a hybrid computational algorithm which is an inventive reconciliation of q-homotopy analysis method (q-HAM) and Laplace transform (LT) to procure the solution of time- fractional and space-time fractional Fokker-Planck equation. The proposed method gives an analytical solution in the form of a convergent series with easily computable components. The outcomes disclose that the present approach is user friendly and an appropriate selection of auxiliary parameters h and n (n ≥ 1) gives more correct approximations identical to exact solution. The auxiliary parameter h in q-HATM provides a convenient way of controlling the convergence region of series solutions.

Suggested Citation

  • Prakash, Amit & Kaur, Hardish, 2017. "Numerical solution for fractional model of Fokker-Planck equation by using q-HATM," Chaos, Solitons & Fractals, Elsevier, vol. 105(C), pages 99-110.
    • Handle: RePEc:eee:chsofr:v:105:y:2017:i:c:p:99-110
    DOI: 10.1016/j.chaos.2017.10.003
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0960077917304113
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.chaos.2017.10.003?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Limei Yan, 2013. "Numerical Solutions of Fractional Fokker-Planck Equations Using Iterative Laplace Transform Method," Abstract and Applied Analysis, Hindawi, vol. 2013, pages 1-7, December.
    2. Magdziarz, Marcin, 2009. "Stochastic representation of subdiffusion processes with time-dependent drift," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3238-3252, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Prakash, Amit & Kumar, Manoj & Baleanu, Dumitru, 2018. "A new iterative technique for a fractional model of nonlinear Zakharov–Kuznetsov equations via Sumudu transform," Applied Mathematics and Computation, Elsevier, vol. 334(C), pages 30-40.
    2. Prakash, Amit & Kaur, Hardish, 2021. "Analysis and numerical simulation of fractional Biswas–Milovic model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 181(C), pages 298-315.
    3. Rao, Anjali & Vats, Ramesh Kumar & Yadav, Sanjeev, 2024. "Numerical study of nonlinear time-fractional Caudrey–Dodd–Gibbon–Sawada–Kotera equation arising in propagation of waves," Chaos, Solitons & Fractals, Elsevier, vol. 184(C).
    4. Prakash, Amit & Kaur, Hardish, 2019. "Analysis and numerical simulation of fractional order Cahn–Allen model with Atangana–Baleanu derivative," Chaos, Solitons & Fractals, Elsevier, vol. 124(C), pages 134-142.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hainaut, Donatien & Leonenko, Nikolai, 2020. "Option pricing in illiquid markets: a fractional jump-diffusion approach," LIDAM Discussion Papers ISBA 2020003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Gu, Hui & Liang, Jin-Rong & Zhang, Yun-Xiu, 2012. "Time-changed geometric fractional Brownian motion and option pricing with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3971-3977.
    3. Kei Kobayashi & Hyunchul Park, 2023. "Spectral Heat Content for Time-Changed Killed Brownian Motions," Journal of Theoretical Probability, Springer, vol. 36(2), pages 1148-1180, June.
    4. Wenfeng He & Nana Chen & Ioannis Dassios & Nehad Ali Shah & Jae Dong Chung, 2021. "Fractional System of Korteweg-De Vries Equations via Elzaki Transform," Mathematics, MDPI, vol. 9(6), pages 1-18, March.
    5. Kevin Z. Tong & Allen Liu, 2019. "Option pricing in a subdiffusive constant elasticity of variance (CEV) model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-21, June.
    6. Dupret, Jean-Loup & Hainaut, Donatien, 2022. "A subdiffusive stochastic volatility jump model," LIDAM Discussion Papers ISBA 2022001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Qing Tang & Fabio Camilli, 2020. "Variational Time-Fractional Mean Field Games," Dynamic Games and Applications, Springer, vol. 10(2), pages 573-588, June.
    8. Hainaut, Donatien, 2019. "Credit risk modelling with fractional self-excited processes," LIDAM Discussion Papers ISBA 2019027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. Karipova, Gulnur & Magdziarz, Marcin, 2017. "Pricing of basket options in subdiffusive fractional Black–Scholes model," Chaos, Solitons & Fractals, Elsevier, vol. 102(C), pages 245-253.
    10. Kobayashi, Kei, 2016. "Small ball probabilities for a class of time-changed self-similar processes," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 155-161.
    11. Foad Shokrollahi, 2016. "Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs," Papers 1612.06665, arXiv.org, revised Aug 2017.
    12. Gajda, Janusz & Magdziarz, Marcin, 2014. "Large deviations for subordinated Brownian motion and applications," Statistics & Probability Letters, Elsevier, vol. 88(C), pages 149-156.
    13. Hainaut, Donatien, 2019. "Fractional Hawkes processes," LIDAM Discussion Papers ISBA 2019016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    14. Hainaut, Donatien, 2020. "Fractional Hawkes processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
    15. Guo, Zhidong & Yuan, Hongjun, 2014. "Pricing European option under the time-changed mixed Brownian-fractional Brownian model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 406(C), pages 73-79.
    16. Kerger, Phillip & Kobayashi, Kei, 2020. "Parameter estimation for one-sided heavy-tailed distributions," Statistics & Probability Letters, Elsevier, vol. 164(C).
    17. Meerschaert, Mark M. & Toaldo, Bruno, 2019. "Relaxation patterns and semi-Markov dynamics," Stochastic Processes and their Applications, Elsevier, vol. 129(8), pages 2850-2879.
    18. Kumar, A. & Wyłomańska, A. & Połoczański, R. & Sundar, S., 2017. "Fractional Brownian motion time-changed by gamma and inverse gamma process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 648-667.
    19. Hassan Khan & Adnan Khan & Maysaa Al-Qurashi & Rasool Shah & Dumitru Baleanu, 2020. "Modified Modelling for Heat Like Equations within Caputo Operator," Energies, MDPI, vol. 13(8), pages 1-14, April.
    20. Hainaut, Donatien, 2020. "Credit risk modelling with fractional self-excited processes," LIDAM Discussion Papers ISBA 2020002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:chsofr:v:105:y:2017:i:c:p:99-110. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thayer, Thomas R. (email available below). General contact details of provider: https://www.journals.elsevier.com/chaos-solitons-and-fractals .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.