Numerical algorithms of the two-dimensional Feynman-Kac equation for reaction and diffusion processes (Q2333709)

This paper considers the numerical solution of a backward Feynman-Kac equation which governs the distribution of functionals of the path for a particle undergoing both reaction and diffusion. The method is based on the first-order and second-order schemes for discretizing the time tempered fractional substantial derivative and the finite difference method to approximate the two-dimensional tempered fractional Laplacian. Error estimates of the schemes are proved, which depend only on the regularity of the solution on \(\Omega\) rather than on the whole space. Numerical examples are included.