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arXiv · 2006.15876

High-order BDF fully discrete scheme for backward fractional Feynman-Kac equation with nonsmooth data

Jing Sun·Daxin Nie·Weihua Deng
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Abstract

The Feynman-Kac equation governs the distribution of the statistical observable -- functional, having wide applications in almost all disciplines. After overcoming challenges from the time-space coupled nonlocal operator and the possible low regularity of functional, this paper develops the high-order fully discrete scheme for the backward fractional Feynman-Kac equation by using backward difference formulas (BDF) convolution quadrature in time, finite element method in space, and some correction terms. With a systematic correction, the high convergence order is achieved up to $6$ in time, without deteriorating the optimal convergence in space and without the regularity requirement on the solution. Finally, the extensive numerical experiments validate the effectiveness of the high-order schemes.

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Jing Sun, Daxin Nie, Weihua Deng. 2020-06-29. High-order BDF fully discrete scheme for backward fractional Feynman-Kac equation with nonsmooth data. https://doi.org/10.1016/j.apnum.2020.10.027

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