A discrete time random walk model for anomalous diffusion

The continuous time random walk, introduced in the physics literature by Montroll and Weiss, has been widely used to model anomalous diffusion in external force fields. One of the features of this model is that the governing equations for the evolution of the probability density function, in the diffusion limit, can generally be simplified using fractional calculus. This has in turn led to intensive research efforts over the past decade to develop robust numerical methods for the governing equations, represented as fractional partial differential equations. Here we introduce a discrete time random walk that can also be used to model anomalous diffusion in an external force field. The governing evolution equations for the probability density function share the continuous time random walk diffusion limit. Thus the discrete time random walk provides a novel numerical method for solving anomalous diffusion equations in the diffusion limit, including the fractional Fokker-Planck equation. This method has the clear advantage that the discretisation of the diffusion limit equation, which is necessary for numerical analysis, is itself a well defined physical process. Some examples using the discrete time random walk to provide numerical solutions of the probability density function for anomalous subdiffusion, including forcing, are provided.