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

DOI10.1007/s10915-019-01027-9zbMath1452.65173arXiv1808.04633OpenAlexW3103523010WikidataQ127390651 ScholiaQ127390651MaRDI QIDQ2333709

Weihua Deng, Daxin Nie, Jing Sun

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

error estimatesfinite difference approximationconvolution quadraturetwo-dimensional Feynman-Kac equation

Mathematics Subject Classification ID

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

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