Time discretization of a tempered fractional Feynman-Kac equation with measure data

Abstract

A feasible approach to study tempered anomalous dynamics is to analyze its functional distribution, which is governed by the tempered fractional Feynman-Kac equation. The main challenges of numerically solving the equation come from the time-space coupled nonlocal operators and the complex parameters involved. In this work, we introduce an efficient time-stepping method to discretize the tempered fractional Feynman-Kac equation by using the Laplace transform representation of convolution quadrature. Rigorous error estimate for the discrete solutions is carried out in the measure norm. Numerical experiments are provided to support the theoretical results.