A fast and accurate algorithm is discussed for numerical solution of Fokker-Planck-like equations. The stability, convergence and round-off errors of the algorithm are analytically studied. The numerical results on Fokker-Planck equation solution are also compared with exact theoretical predictions to test the reliability of the method.
Numerical solution of the Fokker-Planck equation: A fast and accurate algorithm
Palleschi;
1990
Abstract
A fast and accurate algorithm is discussed for numerical solution of Fokker-Planck-like equations. The stability, convergence and round-off errors of the algorithm are analytically studied. The numerical results on Fokker-Planck equation solution are also compared with exact theoretical predictions to test the reliability of the method.File in questo prodotto:
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