An introduction to fractional diffusion

Abstract

The mathematical description of diffusion has a long history with many different formulations including phenomenological models based on conservation of mass and constitutive laws; probabilistic models based on random walks and central limit theorems; microscopic stochastic models based on Brownian motion and Langevin equations; and mesoscopic stochastic models based on master equations and Fokker–Planck equations. A fundamental result common to the different approaches is that the mean square displacement of a diffusing particle scales linearly with time. However there have been numerous experimental measurements in which the mean square displacement of diffusing particles scales as a fractional order power law in time. In recent years a great deal of progress has been made in extending the different models for diffusion to incorporate this fractional diffusion. The tools of fractional calculus have proven very useful in these developments, linking together fractional constitutive laws, continuous time random walks, fractional Langevin equations and fractional Brownian motions. These notes provide a tutorial style overview of standard and fractional diffusion processes.

Publication
Complex Physical, Biophysical and Econophysical Systems, pp. 37-89
Date