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Numerical solution of the Fokker Planck equation using moving finite elements

✍ Scribed by Gray W. Harrison

Publisher
John Wiley and Sons
Year
1988
Tongue
English
Weight
610 KB
Volume
4
Category
Article
ISSN
0749-159X

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✦ Synopsis

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 eliminate the oscillations introduce false numerical diffusion because it is impossible to make the one step drift large enough to match the original equation without making the one step diffusion too large. A variation of the moving finite element method is presented that overcomes these difficulties by using basis functions that satisfy the drift part of the equation by moving along the trajectories of the deterministic dynamical system associated with the stochastic process. A Galerkin type method can then be used to find the coefficients in the remaining pure diffusion equation. Solutions of two test equations are presented to illustrate the effectiveness of the method.

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