The Contour integral method for Feynman-Kac equation with two internal states
Numerical Analysis
2023-09-20 v2 Numerical Analysis
Abstract
We develop the contour integral method for numerically solving the Feynman-Kac equation with two internal states [P. B. Xu and W. H. Deng, Math. Model. Nat. Phenom., 13 (2018), 10], describing the functional distribution of particle's internal states. The striking benefits are obtained, including spectral accuracy, low computational complexity, small memory requirement, etc. We perform the error estimates and stability analyses, which are confirmed by numerical experiments.
Keywords
Cite
@article{arxiv.2304.07779,
title = {The Contour integral method for Feynman-Kac equation with two internal states},
author = {Fugui Ma and Lijing Zhao and Yejuan Wang and Weihua Deng},
journal= {arXiv preprint arXiv:2304.07779},
year = {2023}
}
Comments
23 pages,5 figures