High order algorithm for the time-tempered fractional Feynman-Kac equation

DOI10.1007/S10915-018-0640-YMaRDI QIDQ1669980zbMATH OpenOpenAlexFDO

Authors Minghua Chen, Weihua Deng

Publication date 4 September 2018

Published in Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1607.05929

zbMATH Keywords

first passage timestability and convergencetempered fractional substantial derivativetime-tempered fractional Feynman-Kac equation

Mathematics Subject Classification ID

Fractional partial differential equations (35R11) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Abstract: We provide and analyze the high order algorithms for the model describing the functional distributions of particles performing anomalous motion with power-law jump length and tempered power-law waiting time. The model is derived in [Wu, Deng, and Barkai, Phys. Rev. E., 84 (2016), 032151], being called the time-tempered fractional Feynman-Kac equation. The key step of designing the algorithms is to discretize the time tempered fractional substantial derivative, being defined as ${\displaystyle }${^S!}D_t^{gamma,widetilde{lambda}} G(x,p,t)!=!D_t^{gamma,widetilde{lambda}} G(x,p,t)!-!lambda^gamma G(x,p,t) ~{ m with}~widetilde{lambda}=lambda+ pU(x),, p= ho+Jeta,, J=sqrt{-1},${\displaystyle }$ where ${\displaystyle }$D_t^{gamma,widetilde{lambda}} G(x,p,t) =frac{1}{Gamma(1-gamma)} left[frac{partial}{partial t}+widetilde{lambda} ight] int_{0}^t{left(t-z ight)^{-gamma}}e^{-widetilde{lambda}cdot(t-z)}{G(x,p,z)}dz,${\displaystyle }$ and $lambdage0$, $0<gamma<1$, $ho>0$, and $eta$ is a real number. The designed schemes are unconditionally stable and have the global truncation error $mathcalO(a{u}^2+h^2)$, being theoretically proved and numerically verified in {em complex} space. Moreover, some simulations for the distributions of the first passage time are performed, and the second order convergence is also obtained for solving the `physical' equation (without artificial source term).

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Cited in

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