Numerical schemes of the time tempered fractional Feynman-Kac equation

DOI10.1016/J.CAMWA.2016.12.017zbMATH Open1412.65071arXiv1605.04134OpenAlexW2353514794MaRDI QIDQ666773FDOQ666773

Authors: Juan-Miguel Gracia 

Publication date: 12 March 2019

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Abstract: This paper focuses on providing the computation methods for the backward time tempered fractional Feynman-Kac equation, being one of the models recently proposed in [Wu, Deng, and Barkai, Phys. Rev. E, 84 (2016) 032151]. The discretization for the tempered fractional substantial derivative is derived, and the corresponding finite difference and finite element schemes are designed with well established stability and convergence. The performed numerical experiments show the effectiveness of the presented schemes.

Full work available at URL: https://arxiv.org/abs/1605.04134

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zbMATH Keywords

finite element approximationfinite difference approximationFeynman-Kac equationtempered fractional substantial derivative

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) Fractional partial differential equations (35R11) 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) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cited In (14)

• Block-centered finite difference method for a tempered subdiffusion model with time-dependent coefficients
• Numerical algorithms of the two-dimensional Feynman-Kac equation for reaction and diffusion processes
• High order algorithm for the time-tempered fractional Feynman-Kac equation
• High-order BDF fully discrete scheme for backward fractional Feynman-Kac equation with nonsmooth data
• Second-order numerical methods for the tempered fractional diffusion equations
• A Riesz Basis Galerkin Method for the Tempered Fractional Laplacian
• Time Discretization of a Tempered Fractional Feynman--Kac Equation with Measure Data
• Numerical algorithms for the forward and backward fractional Feynman-Kac equations
• Two \(L1\) schemes on graded meshes for fractional Feynman-Kac equation
• Error estimates for backward fractional Feynman-Kac equation with non-smooth initial data
• Predictor-corrector approach for Riesz tempered fractional diffusion equation with a nonlinear source term
• The implicit midpoint method for variable-coefficient two-sided space tempered fractional diffusion equation
• Efficient difference schemes for the Caputo-tempered fractional diffusion equations based on polynomial interpolation
• High-order numerical approximation formulas for Riemann-Liouville (Riesz) tempered fractional derivatives: construction and application. II.

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