Backward Feynman-Kac Equation Research Articles

Numerical Algorithms of the Two-dimensional Feynman–Kac Equation for Reaction and Diffusion Processes

This paper provides a finite difference discretization for the backward Feynman-Kac equation, governing the distribution of functionals of the path for a particle undergoing both reaction and diffusion [Hou and Deng, J. Phys. A: Math. Theor., {\bf51}, 155001 (2018)]. Numerically solving the equation with the time tempered fractional substantial derivative and tempered fractional Laplacian consists in discretizing these two non-local operators. Here, using convolution quadrature, we provide a first-order and second-order schemes for discretizing the time tempered fractional substantial derivative, which doesn't require the assumption of the regularity of the solution in time; we use the finite difference method to approximate the two-dimensional tempered fractional Laplacian, and the accuracy of the scheme depends on the regularity of the solution on $\bar{\Omega}$ rather than the whole space. Lastly, we verify the predicted convergence orders and the effectiveness of the presented schemes by numerical examples.

Feynman–Kac equations for reaction and diffusion processes

This paper provides a theoretical framework for deriving the forward and backward Feynman–Kac equations for the distribution of functionals of the path of a particle undergoing both diffusion and reaction processes. Once given the diffusion type and reaction rate, a specific forward or backward Feynman–Kac equation can be obtained. The results in this paper include those for normal/anomalous diffusions and reactions with linear/nonlinear rates. Using the derived equations, we apply our findings to compute some physical (experimentally measurable) statistics, including the occupation time in half-space, the first passage time, and the occupation time in half-interval with an absorbing or reflecting boundary, for the physical system with anomalous diffusion and spontaneous evanescence.

Aging Feynman–Kac equation

Aging, the process of growing old or maturing, is one of the most widely seen natural phenomena in the world. For the stochastic processes, sometimes the influence of aging cannot be ignored. For example, in this paper, by analyzing the functional distribution of the trajectories of aging particles performing anomalous diffusion, we reveal that for the fraction of the occupation time of strong aging particles, with coefficient , having no relation with the aging time ta and α and being completely different from the case of weak (none) aging. In fact, we first build the models governing the corresponding functional distributions, i.e. the aging forward and backward Feynman–Kac equations; the above result is one of the applications of the models. Another application of the models is to solve the asymptotic behaviors of the distribution of the first passage time, . The striking discovery is that for weakly aging systems, , while for strongly aging systems, behaves as .

Feynman-Kac Equations for Random Walks in Disordered Media

The problem of finding the distribution of functional of a trajectory of a particle executing a random walk in a disordered medium containing both traps and obstacles is considered. As a model of disordered medium, the Schirmacher model, a combination of random barriers model and multiple-trapping model, is used. Forward and backward Feynman-Kac equations with the boundary conditions at discontinuity points are formulated. As an example, the distribution of the residence time in a half-space is obtained. It is shown that the anomalous subdiffusion due to traps and that due to obstacles give very different distributions.

Numerical Algorithms for the Forward and Backward Fractional Feynman–Kac Equations

The Feynman-Kac equations are a type of partial differential equations describing the distribution of functionals of diffusive motion. The probability density function (PDF) of Brownian functionals satisfies the Feynman-Kac formula, being a Schr\"{o}dinger equation in imaginary time. The functionals of no-Brownian motion, or anomalous diffusion, follow the fractional Feynman-Kac equation [J. Stat. Phys. 141, 1071-1092, 2010], where the fractional substantial derivative is involved. Based on recently developed discretized schemes for fractional substantial derivatives [arXiv:1310.3086], this paper focuses on providing algorithms for numerically solving the forward and backward fractional Feynman-Kac equations; since the fractional substantial derivative is non-local time-space coupled operator, new challenges are introduced comparing with the general fractional derivative. Two ways (finite difference and finite element) of discretizing the space derivative are considered. For the backward fractional Feynman-Kac equation, the numerical stability and convergence of the algorithms with first order accuracy are theoretically discussed; and the optimal estimates are obtained. For all the provided schemes, including the first order and high order ones, of both forward and backward Feynman-Kac equations, extensive numerical experiments are performed to show their effectiveness.