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

Abstract

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 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.