We propose a Semi-Lagrangian scheme for Fokker-Planck equations. The scheme is first order, explicit, preserves non-negativity, conserves the mass and allows large time steps. A modified version is also presented in order to approximate the problem on a bounded domain with mixed Dirichlet and Neumann boundary conditions. We present numerical simulations in one and two dimensions
A Semi-Lagrangian scheme for the Fokker-Planck equation / Carlini, Elisabetta; Silva, F. J.. - ELETTRONICO. - 49:(2016), pp. 272-277. (Intervento presentato al convegno 2nd IFAC Workshop on Control of Systems Governed by Partial Differential Equations CPDE 2016 tenutosi a Bertinoro nel 13-15 June 2016) [10.1016/j.ifacol.2016.07.453].
A Semi-Lagrangian scheme for the Fokker-Planck equation
CARLINI, Elisabetta;
2016
Abstract
We propose a Semi-Lagrangian scheme for Fokker-Planck equations. The scheme is first order, explicit, preserves non-negativity, conserves the mass and allows large time steps. A modified version is also presented in order to approximate the problem on a bounded domain with mixed Dirichlet and Neumann boundary conditions. We present numerical simulations in one and two dimensions| File | Dimensione | Formato | |
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