TY - JOUR
T1 - Numerical solution of two dimensional Fokker-Planck equations
AU - Zorzano, MP
AU - Mais, H
AU - Vazquez, L
PY - 1999
Y1 - 1999
N2 - We present a robust finite difference scheme for the integration of the Fokker—Planck (FP) equation with two variables plus time. The scheme is checked with problems where analytical solutions exist and it is compared with finite element codes, as well as with simulations of the associated Stochastic Differential Equation (SDE). The precision and stability of the scheme are verified.
AB - We present a robust finite difference scheme for the integration of the Fokker—Planck (FP) equation with two variables plus time. The scheme is checked with problems where analytical solutions exist and it is compared with finite element codes, as well as with simulations of the associated Stochastic Differential Equation (SDE). The precision and stability of the scheme are verified.
UR - http://www.scopus.com/inward/record.url?eid=2-s2.0-33645074308&partnerID=MN8TOARS
U2 - 10.1016/S0096-3003(97)10161-8
DO - 10.1016/S0096-3003(97)10161-8
M3 - Article
SN - 0096-3003
JO - Applied Mathematics and Computation
JF - Applied Mathematics and Computation
ER -