Numerical schemes of the time tempered fractional Feynman-Kac equation

被引：11
|
作者：
Deng, W. H. [1 ]
Zhang, Z. J. [1 ]
机构：
[1] Lanzhou Univ, Sch Math & Stat, Gansu Key Lab Appl Math & Complex Syst, Lanzhou 730000, Peoples R China
来源：
COMPUTERS & MATHEMATICS WITH APPLICATIONS | 2017年 / 73卷 / 06期
基金：
中国国家自然科学基金;
关键词：
Tempered fractional substantial derivative; Feynman-Kac equation; Finite difference approximation; Finite element approximation; FINITE-DIFFERENCE APPROXIMATIONS; DIFFUSION; ALGORITHMS; DISPERSION; RESIDENCE;
D O I：
10.1016/j.camwa.2016.12.017
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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 et al. (2016). 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. (C) 2016 Elsevier Ltd. All rights reserved.
引用
收藏
页码：1063 / 1076
页数：14
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