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

DOI10.1007/S10915-018-0640-YzbMATH Open1395.65013arXiv1607.05929OpenAlexW2962970195MaRDI QIDQ1669980FDOQ1669980

Authors: Minghua Chen, Weihua Deng 

Publication date: 4 September 2018

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

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).

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

Recommendations

• Numerical algorithms for the forward and backward fractional Feynman-Kac equations
• Numerical schemes of the time tempered fractional Feynman-Kac equation
• Time Discretization of a Tempered Fractional Feynman--Kac Equation with Measure Data
• Numerical algorithms of the two-dimensional Feynman-Kac equation for reaction and diffusion processes
• Well-posedness and numerical algorithm for the tempered fractional differential equations

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)

Cites Work

• Tempered stable Lévy motion and transient super-diffusion
• Title not available (Why is that?)
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• Finite difference approximations for fractional advection-dispersion flow equations
• The Dirichlet problem for the fractional Laplacian: regularity up to the boundary
• A second-order accurate numerical approximation for the fractional diffusion equation
• Finite difference approximations for two-sided space-fractional partial differential equations
• Discretized Fractional Calculus
• Multigrid method for fractional diffusion equations
• A Fast Finite Difference Method for Two-Dimensional Space-Fractional Diffusion Equations
• Finite element method for the space and time fractional Fokker-Planck equation
• Variational formulation for the stationary fractional advection dispersion equation
• Higher order finite difference method for the reaction and anomalous-diffusion equation
• Numerical algorithms for the forward and backward fractional Feynman-Kac equations
• Compact alternating direction implicit scheme for the two-dimensional fractional diffusion-wave equation
• Discretized fractional substantial calculus
• Fourth Order Accurate Scheme for the Space Fractional Diffusion Equations
• Fractional dynamics. Applications of fractional calculus to dynamics of particles, fields and media
• A weighted finite difference method for the fractional diffusion equation based on the Riemann-Liouville derivative
• Numerical methods for the variable-order fractional advection-diffusion equation with a nonlinear source term
• A space-time spectral method for the time fractional diffusion equation
• Superconvergence of a Discontinuous Galerkin Method for Fractional Diffusion and Wave Equations
• A class of second order difference approximations for solving space fractional diffusion equations
• High Order Algorithms for the Fractional Substantial Diffusion Equation with Truncated Lévy Flights
• The Use of Finite Difference/Element Approaches for Solving the Time-Fractional Subdiffusion Equation
• An Introduction to Iterative Toeplitz Solvers
• Tempered fractional calculus
• A fourth-order approximation of fractional derivatives with its applications
• Fourth Order Difference Approximations for Space Riemann-Liouville Derivatives Based on Weighted and Shifted Lubich Difference Operators
• Riesz potential operators and inverses via fractional centred derivatives
• High order schemes for the tempered fractional diffusion equations
• Finite difference approximations for the fractional Fokker-Planck equation
• First Steps in Random Walks
• A Chebyshev PseudoSpectral Method to Solve the Space-Time Tempered Fractional Diffusion Equation
• A high-order compact finite difference scheme for the fractional sub-diffusion equation
• Orthogonal spline collocation method for the two-dimensional fractional sub-diffusion equation
• Numerical schemes of the time tempered fractional Feynman-Kac equation

Cited In (17)

• Convergence analysis of a LDG method for tempered fractional convection–diffusion equations
• Numerical algorithms of the two-dimensional Feynman-Kac equation for reaction and diffusion processes
• A Sharp $\alpha$-Robust $L1$ Scheme on Graded Meshes for Two-Dimensional Time Tempered Fractional Fokker-Planck Equation
• Numerical methods for forward fractional Feynman-Kac equation
• Correction of high-order BDF convolution quadrature for fractional Feynman-Kac equation with Lévy flight
• Fourth-order alternating direction implicit difference scheme to simulate the space-time Riesz tempered fractional diffusion equation
• Backward difference formulae: the energy technique for subdiffusion equation
• Time Discretization of a Tempered Fractional Feynman--Kac Equation with Measure Data
• Numerical algorithms for the forward and backward fractional Feynman-Kac equations
• Two \(L1\) schemes on graded meshes for fractional Feynman-Kac equation
• Analytical and numerical investigation on the tempered time-fractional operator with application to the Bloch equation and the two-layered problem
• Error estimates for backward fractional Feynman-Kac equation with non-smooth initial data
• A fast implicit difference scheme for solving the generalized time–space fractional diffusion equations with variable coefficients
• Symplectic scheme for the Schrödinger equation with fractional Laplacian
• Energy estimates for two-dimensional space-Riesz fractional wave equation
• Efficient difference schemes for the Caputo-tempered fractional diffusion equations based on polynomial interpolation
• A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations

Uses Software

• FODE

This page was built for publication: High order algorithm for the time-tempered fractional Feynman-Kac equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1669980)