A stochastic differential equation code for multidimensional Fokker-Planck type problems

DOI10.1016/J.CPC.2011.11.014zbMath1264.65010OpenAlexW2075932919WikidataQ115358364 ScholiaQ115358364MaRDI QIDQ1948850

Yanyan Li

Publication date: 25 April 2013

Published in: Computer Physics Communications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cpc.2011.11.014

zbMATH Keywords

numerical examplesstochastic differential equationsfinite-differences explicit numerical codeFokker-Planck type transport equationsmultidimensional simulations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Fokker-Planck equations (35Q84)

Related Items (5)

An effective numerical simulation for solving a class of Fokker–Planck equations using Laguerre wavelet method ⋮ An efficient algorithm based on Haar wavelets for numerical simulation of Fokker-Planck equations with constants and variable coefficients ⋮ The space-fractional diffusion-advection equation: analytical solutions and critical assessment of numerical solutions ⋮ CRPropa 3.1—a low energy extension based on stochastic differential equations ⋮ Solution of the Stochastic Differential Equations Equivalent to the Non-stationary Parker Transport Equation by the Strong Order Numerical Methods

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