The contour integral method for Feynman-Kac equation with two internal states

被引：0

作者：

Ma, Fugui ^{[1
]}

Zhao, Lijing ^{[2
,3
]}

Wang, Yejuan ^{[1
]}

Deng, Weihua ^{[1
]}

机构：

[1] Lanzhou Univ, Sch Math & Stat, Gansu Key Lab Appl Math & Complex Syst, Lanzhou 730000, Peoples R China

[2] Northwestern Polytech Univ, Sch Math & Stat, Xian 710129, Peoples R China

[3] Res & Dev Inst Northwestern Polytech Univ Shenzhen, Shenzhen 518057, Peoples R China

来源：

COMPUTERS & MATHEMATICS WITH APPLICATIONS | 2023年 / 151卷

基金：

中国国家自然科学基金;

关键词：

Contour integral method; Time marching scheme; Feynman-Kac equation; Two internal states; PREDICTOR-CORRECTOR APPROACH; NUMERICAL INVERSION; TIME-DISCRETIZATION; LAPLACE TRANSFORM; PARALLEL METHOD; ERROR ANALYSIS; QUADRATURE;

D O I：

10.1016/j.camwa.2023.09.037

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We develop the contour integral method for numerically solving the Feynman-Kac equation with two internal states Xu and Deng (2018) [23], describing the functional distribution of particles internal states. The striking benefits are obtained, including spectral accuracy, low computational complexity, sma l l memor y requirement, etc. We perform the error estimates and stability analyses, which are confirmed by numerical experiments.

引用

页码：80 / 100

页数：21

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