Efficient numerical approximation of a non-regular Fokker-Planck equation associated with first-passage time distributions
Fokker-Planck equationparameter-dependent PDEspace-time variational formulationsparse tensor product interpolationtime-dependent spatial domain
Variational methods applied to PDEs (35A15) Smoothness and regularity of solutions to PDEs (35B65) Heat kernel (35K08) Fokker-Planck equations (35Q84) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical interpolation (65D05) Numerical optimization and variational techniques (65K10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Neural biology (92C20) Population dynamics (general) (92D25)
The Fokker-Planck equation on a one-dimensional spatial domain with discontinuity between initial and boundary data and time-dependent boundaries is solved numerically. The equation is transformed first into an equation on a rectangular time-space domain. It was shown that the solution of a corresponding equation with a suitable constant drift function, whose solution is explicitly available as a fast converging series expansion, captures the singularity present in the solution for a variable drift function. The equation for the difference of both these solutions, which is thus more regular than both terms, is solved with a minimal residual method. In order to efficiently solve Fokker-Planck equations that depend on multiple parameters, the authors apply a sparse tensor product interpolation method that can be shown to converge at a subexponential rate as a function of the number of interpolation points. The predicted convergence rates of the minimal residual method and that of the interpolation method are supported by numerical simulations.
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