Fractional Fokker-Planck equation

Abstract

We shall discuss the numerical solution of the Cauchy problem for the fully fractional Fokker-Planck (fFP) equation in connection with Sinc convolution methods. The numerical approximation is based on Caputo and Riesz-Feller fractional derivatives. The use of the transfer function in Laplace and Fourier spaces in connection with Sinc convolutions allow to find exponentially converging computing schemes. Examples using different initial conditions demonstrate the effective computations with a small number of grid points on an infinite spatial domain.