A Non-compact Positivity-Preserving Scheme for Parabolic PDE via Conditional Expectation

TL;DR

This paper introduces a new non-compact, positivity-preserving numerical scheme for linear parabolic PDEs based on the Feynman-Kac formula, effectively handling anisotropic diffusion and boundary conditions with improved accuracy and stability.

Contribution

It develops a wide stencil, non-compact scheme that preserves positivity and handles complex boundary conditions with high accuracy, unlike classical compact schemes.

Findings

Scheme is unconditionally stable and positive preserving.

Achieves O(Δt^{1/2}) and O(Δt) accuracy for boundary treatments.

Numerical experiments confirm theoretical convergence rates.

Abstract

We propose a novel non-compact, positivity-preserving scheme for linear non-divergence form parabolic equations. Based on the Feynman-Kac formula, the solution is expressed as a conditional expectation of an associated diffusion process. Instead of using compact Markov chain approximations, we employ a wide stencil scheme to approximate the conditional expectation, ensuring consistency and positivity preservation. This method is effective for anisotropic diffusion with mixed derivatives, where classical schemes often fail unless the covariance matrix is diagonally dominated. A key feature of our framework is its robust treatment of boundary conditions, which avoids the accuracy loss commonly encountered in BZ and semi-Lagrangian schemes. For Dirichlet boundaries, we introduce (i) a quad-tree non-uniform stopping time scheme with O($\Delta t^{1/2}$) accuracy and (ii) a quad-tree uniform stopping time scheme with O($\Delta t$) accuracy. For Neumann boundaries, we use discrete specular reflection with O($\Delta t^{1/2}$) convergence, while periodic boundaries are treated using modular wrapping, achieving O($\Delta t$) accuracy. All analyses are conducted under the practical scaling $\Delta t \sim h$. Except for the uniform stopping time scheme, all schemes are explicit. The schemes are unconditionally stable and positive preserving, thanks to the probabilistic structure. To ensure consistency, a non-compact stencil is involved, which leads to the large time step constraint $\Delta t \sim h$. Numerical experiments confirm the predicted $L^\infty$ convergence rates for all types of boundary conditions.