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Title: Tempered fractional calculus

Fractional derivatives and integrals are convolutions with a power law. Multiplying by an exponential factor leads to tempered fractional derivatives and integrals. Tempered fractional diffusion equations, where the usual second derivative in space is replaced by a tempered fractional derivative, govern the limits of random walk models with an exponentially tempered power law jump distribution. The limiting tempered stable probability densities exhibit semi-heavy tails, which are commonly observed in finance. Tempered power law waiting times lead to tempered fractional time derivatives, which have proven useful in geophysics. The tempered fractional derivative or integral of a Brownian motion, called a tempered fractional Brownian motion, can exhibit semi-long range dependence. The increments of this process, called tempered fractional Gaussian noise, provide a useful new stochastic model for wind speed data. A tempered fractional difference forms the basis for numerical methods to solve tempered fractional diffusion equations, and it also provides a useful new correlation model in time series.
Authors:
 [1] ;  [1] ;  [2]
  1. Department of Statistics and Probability, Michigan State University, East Lansing, MI 48823 (United States)
  2. School of Sciences, Jimei University, Xiamen, Fujian, 361021 (China)
Publication Date:
OSTI Identifier:
22465633
Resource Type:
Journal Article
Resource Relation:
Journal Name: Journal of Computational Physics; Journal Volume: 293; Other Information: Copyright (c) 2014 Elsevier Science B.V., Amsterdam, The Netherlands, All rights reserved.; Country of input: International Atomic Energy Agency (IAEA)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; 97 MATHEMATICAL METHODS AND COMPUTING; BROWNIAN MOVEMENT; DIFFUSION EQUATIONS; GEOPHYSICS; GRAPH THEORY; PROBABILITY; STOCHASTIC PROCESSES; VELOCITY; WIND