Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients

DOI10.1016/J.CAM.2014.05.024zbMath1295.65101OpenAlexW1991574885MaRDI QIDQ2510016

G. M. Leonenko, Timothy N. Phillips

Publication date: 31 July 2014

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.2014.05.024

zbMATH Keywords

singular value decompositionFokker-Planck equationsspectral methodnumerical resultPearson diffusionsadaptive basis

Mathematics Subject Classification ID

Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Fokker-Planck equations (35Q84)

Related Items (2)

Investigations to the price evolutions of goods exchange with CES utility functions ⋮ Transient numerical approximation of hyperbolic diffusions and beyond

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