Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation

DOI10.1016/j.amc.2016.08.050zbMath1411.65110OpenAlexW2518948376WikidataQ115361300 ScholiaQ115361300MaRDI QIDQ1734297

B. Gaviraghi, Mario Annunziato, Alfio Borzì

Publication date: 27 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2016.08.050

zbMATH Keywords

convergence analysisFokker-Planck equationjump-diffusion processespartial integro-differential equationChang-CooperStrang-Marchuk splitting

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Fokker-Planck equations (35Q84)

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Uses Software

• Mulprec

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