Response of stochastic dynamical systems driven by additive Gaussian and Poisson white noise: Solution of a forward generalized Kolmogorov equation by a spectral finite difference method (Q1965196)

The authors consider a stochastic differential equation which describes a class of time-independent discrete dynamical systems driven by additive linear combinations of Gaussian and Poisson white noises. The aim is to construct a finite difference scheme for solving the corresponding Fokker-Planck equation. To this end, one looks for numerical solution of the corresponding Fourier transform equation, and this is done in four stages: (i) spatial discretization; (ii) temporal discretization; (ii) solution of linear equations governing the nodal values of characteristic function resulting from the discretization; (iv) postprocessing of the results. The probability density itself can be recovered by numerical inverse Fourier transform. Several examples illustrate the approach.