High order algorithm for the time-tempered fractional Feynman-Kac equation

TL;DR

This paper develops and analyzes high-order, unconditionally stable algorithms for the time-tempered fractional Feynman-Kac equation, enabling accurate simulations of anomalous particle motion with complex distributions.

Contribution

The paper introduces a novel discretization scheme for the time-tempered fractional substantial derivative, achieving second-order accuracy and stability for the first time.

Findings

The algorithms are unconditionally stable with ( au^2+h^2) accuracy.

Numerical verification confirms second-order convergence in complex space.

Simulations of first passage time distributions demonstrate practical effectiveness.

Abstract

We provide and analyze the high order algorithms for the model describing the functional distributions of particles performing anomalous motion with power-law jump length and tempered power-law waiting time. The model is derived in [Wu, Deng, and Barkai, Phys. Rev. E., 84 (2016), 032151], being called the time-tempered fractional Feynman-Kac equation. The key step of designing the algorithms is to discretize the time tempered fractional substantial derivative, being defined as $${^S\!}D_t^{\gamma,\widetilde{\lambda}} G(x,p,t)\!=\!D_t^{\gamma,\widetilde{\lambda}} G(x,p,t)\!-\!\lambda^\gamma G(x,p,t) ~{\rm with}~\widetilde{\lambda}=\lambda+ pU(x),\, p=\rho+J\eta,\, J=\sqrt{-1},$$ where $$D_t^{\gamma,\widetilde{\lambda}} G(x,p,t) =\frac{1}{\Gamma(1-\gamma)} \left[\frac{\partial}{\partial t}+\widetilde{\lambda} \right] \int_{0}^t{\left(t-z\right)^{-\gamma}}e^{-\widetilde{\lambda}\cdot(t-z)}{G(x,p,z)}dz,$$ and $\lambda \ge 0$, $0<\gamma<1$, $\rho>0$, and $\eta$ is a real number. The designed schemes are unconditionally stable and have the global truncation error $\mathcal{O}(\tau^2+h^2)$, being theoretically proved and numerically verified in {\em complex} space. Moreover, some simulations for the distributions of the first passage time are performed, and the second order convergence is also obtained for solving the `physical' equation (without artificial source term).