Two-level difference scheme for the two-dimensional Fokker-Planck equation

DOI10.1016/j.matcom.2020.09.001OpenAlexW3084405060MaRDI QIDQ1998272

Muhammad Munir Butt

Publication date: 6 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2020.09.001

zbMATH Keywords

Fokker-Planck equationfinite differencestaggered gridstwo-level schemeChang-Cooper scheme

Mathematics Subject Classification ID

Partial differential equations of mathematical physics and other areas of application (35Qxx) Parabolic equations and parabolic systems (35Kxx) Stochastic processes (60Gxx) Probabilistic methods, stochastic differential equations (65Cxx) Optimality conditions (49Kxx)

Related Items

Two-level method for a time-independent Fokker–Planck control problem ⋮ Numerical solution to 3D bilinear Fokker–Planck control problem ⋮ Some computational methods for the Fokker-Planck equation

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