Numerical methods for forward fractional Feynman-Kac equation

DOI10.1007/S10444-024-10152-5MaRDI QIDQ6587241zbMATH OpenFDO

Authors Daxin Nie, Jing Sun, Weihua Deng

Publication date 13 August 2024

Published in Advances in Computational Mathematics (Search for Journal in Brave)

zbMATH Keywords

error estimatefinite element methodconvolution quadraturefractional substantial derivativeintegral fractional Laplacianforward fractional Feynman-Kac equation

Mathematics Subject Classification ID

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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Cites work

• scientific article; zbMATH DE number 2208228 (Why is no real title available?)
• A second-order difference scheme for the time fractional substantial diffusion equation
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• Fractional Laplacians on domains, a development of Hörmander's theory of \(\mu\)-transmission pseudodifferential operators
• Galerkin Finite Element Methods for Parabolic Problems
• Generalized Fokker-Planck equation: derivation and exact solutions
• High order algorithm for the time-tempered fractional Feynman-Kac equation
• High order algorithms for the fractional substantial diffusion equation with truncated Lévy flights
• Hitchhiker's guide to the fractional Sobolev spaces
• Multiplication in Sobolev spaces, revisited
• Numerical algorithm for the space-time fractional Fokker-Planck system with two internal states
• Numerical algorithms for the forward and backward fractional Feynman-Kac equations
• Numerical approximation of the integral fractional Laplacian
• On distributions of functionals of anomalous diffusion paths
• Spectral methods for substantial fractional differential equations
• Time Discretization of a Tempered Fractional Feynman--Kac Equation with Measure Data
• Two \(L1\) schemes on graded meshes for fractional Feynman-Kac equation
• Well-posedness and numerical algorithm for the tempered fractional differential equations

Cited in

(1)

• Analysis of a WSGD scheme for backward fractional Feynman-Kac equation with nonsmooth data

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