Numerical solution of a simple Fokker-Planck equation (Q1192520)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical solution of a simple Fokker-Planck equation |
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Numerical solution of a simple Fokker-Planck equation (English)
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27 September 1992
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A boundary value problem for a simple Fokker-Planck equation is considered and a numerical solution to that problem is determined. The equation is discretized using the backward Euler method and an estimate of the error due to discretization is given. An iterative method to solve the discrete equations is employed. A theorem on the convergence of the iterates is presented and some numerical results are obtained.
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finite difference method
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error estimate
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Fokker-Planck equation
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backward Euler method
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iterative method
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convergence
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numerical results
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