TY - JOUR
T1 - Some Computational Methods for the Fokker–Planck Equation
AU - Sasidharan, Neena
AU - Clemence, Dominic
AU - Awasthi, Ashish
PY - 2022
Y1 - 2022
N2 - Three computational techniques are proposed for the numerical solution of the Fokker–Planck equation (FPE): the semi-implicit Euler, implicit Euler, and Crank–Nicolson type methods. The types of equations considered includes the FPE with constant or linear drift coefficient, the backward Kolmogorov equation, and the non-linear FPE. Comparisons of the computed numerical results with the exact solutions for three examples has been performed to validate the proposed schemes, which prove competitive against existing methods.
AB - Three computational techniques are proposed for the numerical solution of the Fokker–Planck equation (FPE): the semi-implicit Euler, implicit Euler, and Crank–Nicolson type methods. The types of equations considered includes the FPE with constant or linear drift coefficient, the backward Kolmogorov equation, and the non-linear FPE. Comparisons of the computed numerical results with the exact solutions for three examples has been performed to validate the proposed schemes, which prove competitive against existing methods.
M3 - Article
VL - 8
JO - International Journal of Applied and Computational Mathematics
JF - International Journal of Applied and Computational Mathematics
IS - 5
ER -