Numerical methods for forward fractional Feynman-Kac equation
DOI10.1007/S10444-024-10152-5zbMATH Open1545.65374MaRDI QIDQ6587241FDOQ6587241
Authors: Daxin Nie, Jing Sun, Weihua Deng 
Publication date: 13 August 2024
Published in: Advances in Computational Mathematics (Search for Journal in Brave)
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error estimatefinite element methodconvolution quadraturefractional substantial derivativeintegral fractional Laplacianforward fractional Feynman-Kac equation
Numerical quadrature and cubature formulas (65D32) Smoothness and regularity of solutions to PDEs (35B65) Fractional derivatives and integrals (26A33) Fokker-Planck equations (35Q84) Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
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- Time Discretization of a Tempered Fractional Feynman--Kac Equation with Measure Data
- Error estimates for backward fractional Feynman-Kac equation with non-smooth initial data
- Numerical approximation of the integral fractional Laplacian
- Numerical algorithm for the space-time fractional Fokker-Planck system with two internal states
- Two \(L1\) schemes on graded meshes for fractional Feynman-Kac equation
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