The numerical approximation of the solution of the Fokker-Planck equation is a challenging problem that has been extensively investigated starting from the pioneering paper of Chang and Cooper in 1970 [8]. We revisit this problem at the light of the approximation of the solution to the heat equation proposed by Rosenau [25]. Further, by means of the same idea, we address the problem of a consistent approximation to higher-order linear diffusion equations.
A Rosenau-type approach to the approximation of the linear Fokker-Planck equation
G Toscani
2018
Abstract
The numerical approximation of the solution of the Fokker-Planck equation is a challenging problem that has been extensively investigated starting from the pioneering paper of Chang and Cooper in 1970 [8]. We revisit this problem at the light of the approximation of the solution to the heat equation proposed by Rosenau [25]. Further, by means of the same idea, we address the problem of a consistent approximation to higher-order linear diffusion equations.File in questo prodotto:
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Descrizione: A Rosenau-type approach to the approximation of the linear Fokker-Planck equation
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