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

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 particles internal states. The striking benefits are obtained, including spectral accuracy, low computational complexity, sma l l memor y requirement, etc. We perform the error estimates and stability analyses, which are confirmed by numerical experiments.

Automated summary

This paper develops a contour integral method for numerically solving the Feynman-Kac equation, which describes the functional distribution of particles internal states. The method offers benefits such as spectral accuracy, low computational complexity, and small memory requirement. Error estimates and stability analyses are performed and confirmed by numerical experiments.