Numerical schemes of the time tempered fractional Feynman-Kac equation

DOI10.1016/j.camwa.2016.12.017zbMath1412.65071arXiv1605.04134MaRDI QIDQ666773

Juan-Miguel Gracia

Publication date: 12 March 2019

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

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

zbMATH Keywords

finite element approximation; finite difference approximation; Feynman-Kac equation; tempered fractional substantial derivative

Mathematics Subject Classification ID

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs

82C31: Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics

35R11: Fractional partial differential equations

35Q84: Fokker-Planck equations