Fractional Fokker-Planck dynamics: Stochastic representation and computer simulation

Abstract

A computer algorithm for the visualization of sample paths of anomalous diffusion processes is developed. It is based on the stochastic representation of the fractional Fokker-Planck equation describing anomalous diffusion in a nonconstant potential. Monte Carlo methods employing the introduced algorithm will surely provide tools for studying many relevant statistical characteristics of the fractional Fokker-Planck dynamics.