Numerical Solution of the Fokker–Planck Equation by Finite Difference and Finite Element Methods—A Comparative Study

DOI10.1007/978-94-007-5134-7_5zbMath1304.65222OpenAlexW1174634663MaRDI QIDQ5496956

Arif Masud, Lukas Pichler, Lawrence A. Bergman

Publication date: 30 January 2015

Published in: Computational Methods in Stochastic Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-94-007-5134-7_5

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) White noise theory (60H40) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Fokker-Planck equations (35Q84)

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