Numerical method for the Fokker-Planck equation of Brownian motion subordinated by inverse tempered stable subordinator with drift

arXiv2205.10971MaRDI QIDQ6399861FDOQ6399861

Xiangong Tang, Weihua Deng, Can Wang

Publication date: 22 May 2022

Abstract: In this work, based on the complete Bernstein function, we propose a generalized regularity analysis including maximal $mathrm{L}^p$ regularity for the Fokker--Planck equation, which governs the subordinated Brownian motion with the inverse tempered stable subordinator that has a drift. We derive a generalized time--stepping finite element scheme based on the backward Euler convolution quadrature, and the optimal-order convergence of the numerical solutions is established using the proven solution regularity. Further, the analysis is generalized to more general diffusion equations. Numerical experiments are provided to support the theoretical results.

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