A BDF2-approach for the non-linear Fokker-Planck equation
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Publication:1735366
Variational methods applied to PDEs (35A15) Initial value problems for nonlinear higher-order PDEs (35G25) Fokker-Planck equations (35Q84) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Numerical solutions to abstract evolution equations (65J08) Initial value problems for higher-order parabolic systems (35K46)
Abstract: We prove convergence of a variational formulation of the BDF2 method applied to the non-linear Fokker-Planck equation. Our approach is inspired by the JKO-method and exploits the differential structure of the underlying -Wasserstein space. The technique presented here extends and strengthens the results of our own recent work on the BDF2 method for general metric gradient flows in the special case of the non-linear Fokker-Planck equation: firstly, we do not require uniform semi-convexity of the augmented energy functional; secondly, we prove strong instead of merely weak convergence of the time-discrete approximations; thirdly, we directly prove without using the abstract theory of curves of maximal slope that the obtained limit curve is a weak solution of the non-linear Fokker-Planck equation.
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Cited in
(5)- A variational formulation of the BDF2 method for metric gradient flows
- A multi-step Lagrangian scheme for spatially inhomogeneous evolutionary games
- From geodesic extrapolation to a variational BDF2 scheme for Wasserstein gradient flows
- Lagrangian schemes for Wasserstein gradient flows
- Strong \(L^2 H^2\) convergence of the JKO scheme for the Fokker-Planck equation
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