Wasserstein gradient flow formulation of the time-fractional Fokker-Planck equation

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Authors

Colleges, School and Institutes

External organisations

  • University College London

Abstract

In this work, we investigate a variational formulation for a time-fractional Fokke–Planck equation which arises in the study of complex physical systems involving anomalously slow diffusion. The model involves a fractional-order Caputo derivative in time, and thus inherently nonlocal. The study follows the Wasserstein gradient flow approach pioneered by [R. Jordan, D. Kinderlehrer, and F. Otto, SIAM J. Math. Anal., 29(1):1–17, 1998]. We propose a JKO-type scheme for discretizing the model, using the L1 scheme for the Caputo fractional derivative in time, and establish the convergence of the scheme as the time step size tends to zero. Illustrative numerical results in one- and two-dimensional problems are also presented to show the approach.

Details

Original languageEnglish
Pages (from-to)1949–1975
JournalCommunications in Mathematical Sciences
Volume18
Issue number7
Publication statusPublished - 11 Dec 2020

Keywords

  • Wasserstein gradient flow, time-fractional Fokker–Planck equation, convergence of time-discretization scheme