Numerical methods for forward fractional Feynman–Kac equation

Abstract

Fractional Feynman–Kac equation governs the functional distribution of the trajectories of anomalous diffusion. The non-commutativity of the integral fractional Laplacian and time-space coupled fractional substantial derivative, i.e., \(\mathcal {A}^{s}{}_{0}\partial _{t}^{1-\alpha ,x}\ne {}_{0}\partial _{t}^{1-\alpha ,x}\mathcal {A}^{s}\), brings about huge challenges on the regularity and spatial error estimates for the forward fractional Feynman–Kac equation. In this paper, we first use the corresponding resolvent estimate obtained by the bootstrapping arguments and the generalized Hölder-type inequalities in Sobolev space to build the regularity of the solution, and then the fully discrete scheme constructed by convolution quadrature and finite element methods is developed. Also, the complete error analyses in time and space directions are respectively presented, which are consistent with the provided numerical experiments.