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

From MaRDI portal

!

This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:

scientific article; zbMATH DE number 6463878
Language Label Description Also known as
default for all languages
No label defined
    English
    Numerical algorithms for the forward and backward fractional Feynman-Kac equations
    scientific article; zbMATH DE number 6463878

      Statements

      Numerical algorithms for the forward and backward fractional Feynman-Kac equations (English)
      0 references
      0 references
      0 references
      0 references
      24 July 2015
      0 references
      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.
      0 references
      fractional Feynman-Kac equation
      0 references
      fractional substantial derivative
      0 references
      optimal convergence order
      0 references
      numerical stability
      0 references
      convergence
      0 references
      numerical inversion of Laplace transforms
      0 references
      Schrödinger equation
      0 references
      finite difference
      0 references
      finite element
      0 references
      numerical experiment
      0 references
      0 references

      Identifiers

      0 references
      0 references
      0 references
      0 references
      0 references
      0 references
      0 references
      0 references
      0 references
      0 references