Numerical algorithms of the two-dimensional Feynman-Kac equation for reaction and diffusion processes

DOI10.1007/S10915-019-01027-9zbMATH Open1452.65173arXiv1808.04633OpenAlexW3103523010WikidataQ127390651 ScholiaQ127390651MaRDI QIDQ2333709FDOQ2333709

Authors: Daxin Nie, Jing Sun, Weihua Deng 

Publication date: 13 November 2019

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

Abstract: This paper provides a finite difference discretization for the backward Feynman-Kac equation, governing the distribution of functionals of the path for a particle undergoing both reaction and diffusion [Hou and Deng, J. Phys. A: Math. Theor., {�f51}, 155001 (2018)]. Numerically solving the equation with the time tempered fractional substantial derivative and tempered fractional Laplacian consists in discretizing these two non-local operators. Here, using convolution quadrature, we provide a first-order and second-order schemes for discretizing the time tempered fractional substantial derivative, which doesn't require the assumption of the regularity of the solution in time; we use the finite difference method to approximate the two-dimensional tempered fractional Laplacian, and the accuracy of the scheme depends on the regularity of the solution on $$ rather than the whole space. Lastly, we verify the predicted convergence orders and the effectiveness of the presented schemes by numerical examples.

Full work available at URL: https://arxiv.org/abs/1808.04633

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zbMATH Keywords

error estimatesfinite difference approximationconvolution quadraturetwo-dimensional Feynman-Kac equation

Mathematics Subject Classification ID

Numerical integration (65D30) Reaction-diffusion equations (35K57) Fokker-Planck equations (35Q84) Fractional partial differential equations (35R11) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cited In (11)

• Feynman-Kac equations for reaction and diffusion processes
• High order algorithm for the time-tempered fractional Feynman-Kac equation
• Numerical approaches to the functional distribution of anomalous diffusion with both traps and flights
• Numerical methods for the two-dimensional Fokker-Planck equation governing the probability density function of the tempered fractional Brownian motion
• Numerical methods for forward fractional Feynman-Kac equation
• Finite difference method for inhomogeneous fractional Dirichlet problem
• Numerical algorithms for the forward and backward fractional Feynman-Kac equations
• The contour integral method for Feynman-Kac equation with two internal states
• Error estimates for backward fractional Feynman-Kac equation with non-smooth initial data
• Numerical schemes of the time tempered fractional Feynman-Kac equation
• Analysis of a Fully Discrete Finite Element Method for Parabolic Interface Problems with Nonsmooth Initial Data

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