High-order BDF fully discrete scheme for backward fractional Feynman-Kac equation with nonsmooth data

DOI10.1016/J.APNUM.2020.10.027MaRDI QIDQ2227731zbMATH OpenOpenAlexFDO

Authors Jing Sun, Daxin Nie, Weihua Deng

Publication date 15 February 2021

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.15876

zbMATH Keywords

convolution quadratureerror analysisfinite element methodfractional substantial derivativehigh-order backward difference formulastime-space coupled operator

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) 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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Numerical methods for integral equations (65R20) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: The Feynman-Kac equation governs the distribution of the statistical observable -- functional, having wide applications in almost all disciplines. After overcoming challenges from the time-space coupled nonlocal operator and the possible low regularity of functional, this paper develops the high-order fully discrete scheme for the backward fractional Feynman-Kac equation by using backward difference formulas (BDF) convolution quadrature in time, finite element method in space, and some correction terms. With a systematic correction, the high convergence order is achieved up to $6$ in time, without deteriorating the optimal convergence in space and without the regularity requirement on the solution. Finally, the extensive numerical experiments validate the effectiveness of the high-order schemes.

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Cited in

(7)

• Correction of high-order BDF convolution quadrature for fractional Feynman-Kac equation with Lévy flight
• Analysis of a WSGD scheme for backward fractional Feynman-Kac equation with nonsmooth data
• Analysis of an optimal control problem of the backward fractional Feynman-Kac equation with temporal approximation
• Numerical discretization and error analysis for an optimal control problem governed by forward fractional Feynman-Kac equation
• Local discontinuous Galerkin method for the backward Feynman-Kac equation
• Analysis of higher order WSGL schemes for tempered subdiffusion equation with nonsmooth data
• Error estimates for backward fractional Feynman-Kac equation with non-smooth initial data

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