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The Fokker-Planck equation using projection techniques

โœ Scribed by A. Muriel


Publisher
Elsevier Science
Year
1969
Weight
188 KB
Volume
45
Category
Article
ISSN
0031-8914

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Numerical solution of the Fokker Planck
โœ Gray W. Harrison ๐Ÿ“‚ Article ๐Ÿ“… 1988 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 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