Numerical algorithms for the forward and backward fractional Feynman-Kac equations (Q2355555)

The authors consider Feynman-Kac partial differential equations describing the distribution of functionals of diffusive motion, where the probability density function of Brownian functionals satisfies the Feynman-Kac formula, which is a Schrödinger equation in imaginary time. They introduce new numerical algorithms for solving such equations using finite difference and finite element approaches for discretizing the space derivative. Theoretical analysis of the numerical stability and convergence for the backward fractional Feynman-Kac equation is also provided. To justify the efficiency of the methods, the authors show the results of comprehensive numerical experiments.