Numerical solution of the Fokker Planck
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Gray W. Harrison
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Article
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1988
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John Wiley and Sons
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English
β 610 KB
Numerical solution of the Fokker Planck equation for the probability density function of a stochastic process by traditional finite difference or finite element methods produces erroneous oscillations and negative values whenever the drift is large compared to the diffusion. Upwinding schemes to eli