Transient numerical approximation of hyperbolic diffusions and beyond

DOI10.1016/j.cam.2022.114893zbMath1503.65263OpenAlexW4306181055WikidataQ115580967 ScholiaQ115580967MaRDI QIDQ2104070

G. M. Leonenko, Timothy N. Phillips

Publication date: 9 December 2022

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

Full work available at URL: https://doi.org/10.1016/j.cam.2022.114893

zbMATH Keywords

Fokker-Planck equationspectral approximationproper generalized decompositionhyperbolic diffusions

Mathematics Subject Classification ID

Numerical solutions to overdetermined systems, pseudoinverses (65F20) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Brownian motion (60J65) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Fokker-Planck equations (35Q84)

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