Sibuya probability distribution and numerical evaluation of fractional-order operators
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Nikolai Leonenko1, Igor Podlubny2
1School of Mathematics, Cardiff University, Cardiff, CF 24 4AG United Kingdom.
Abstract:
In this work we explore the Sibuya probability distribution, which serves as the basis and the main instrument for numerical simulations of Grünwald-Letnikov fractional derivatives by the Monte Carlo method. We provide three methods for simulating the Sibuya distribution. We also introduce the Sibuya-like sieved probability distributions, and apply them to numerical fractional-order differentiation. Additionally, we use the Monte Carlo method for evaluating fractional-order integrals. The developed methods and tools are illustrated by examples of computation. We provide the MATLAB toolboxes for simulation of the Sibuya probability distribution, and for the numerical examples.
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