Solution of the Fokker-Planck-Kolmogorov equation by the method of finite differences

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Publication:923519

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zbMath0711.60079MaRDI QIDQ923519

V. K. Saul'ev, A. A. Chernikov

Publication date: 1990

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

numerical method finite difference method Fokker-Planck-Kolmogorov equation

Mathematics Subject Classification ID

Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

A finite difference method for a boundary value problem related to the Kolmogorov equation

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