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

DOI10.1007/S10915-019-01027-9MaRDI QIDQ2333709zbMATH OpenOpenAlexWikidataFDO

Authors Daxin Nie, Jing Sun, Weihua Deng

Publication date 13 November 2019

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

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

zbMATH Keywords

convolution quadratureerror estimatesfinite difference approximationtwo-dimensional Feynman-Kac equation

Mathematics Subject Classification ID

Reaction-diffusion equations (35K57) Fokker-Planck equations (35Q84) Fractional partial differential equations (35R11) Numerical integration (65D30) 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)

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.

Review text

This paper considers the numerical solution of a backward Feynman-Kac equation which governs the distribution of functionals of the path for a particle undergoing both reaction and diffusion. The method is based on the first-order and second-order schemes for discretizing the time tempered fractional substantial derivative and the finite difference method to approximate the two-dimensional tempered fractional Laplacian. Error estimates of the schemes are proved, which depend only on the regularity of the solution on \(\Omega\) rather than on the whole space. Numerical examples are included.

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Cited in

(12)

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

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