Analysis of a WSGD scheme for backward fractional Feynman-Kac equation with nonsmooth data
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Publication:6436285
PDEs with low regular coefficients and/or low regular data (35R05) 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)
Abstract: In this paper, we propose and analyze a second-order time-stepping numerical scheme for the inhomogeneous backward fractional Feynman-Kac equation with nonsmooth initial data. The complex parameters and time-space coupled Riemann-Liouville fractional substantial integral and derivative in the equation bring challenges on numerical analysis and computations. The nonlocal operators are approximated by using the weighted and shifted Gr"{u}nwald difference (WSGD) formula. Then a second-order WSGD scheme is obtained after making some initial corrections. Moreover, the error estimates of the proposed time-stepping scheme are rigorously established without the regularity requirement on the exact solution. Finally, some numerical experiments are performed to validate the efficiency and accuracy of the proposed numerical scheme.
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