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

DOI10.1016/j.apnum.2020.10.027zbMath1472.65126arXiv2006.15876OpenAlexW3037501651MaRDI QIDQ2227731

Jing Sun, Weihua Deng, Daxin Nie

Publication date: 15 February 2021

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.15876

zbMATH Keywords

finite element methoderror analysisconvolution quadraturefractional substantial derivativehigh-order backward difference formulastime-space coupled operator

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) 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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Fractional partial differential equations (35R11) Fokker-Planck equations (35Q84)

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