Transient numerical approximation of hyperbolic diffusions and beyond

DOI10.1016/j.cam.2022.114893zbMath1503.65263WikidataQ115580967 ScholiaQ115580967MaRDI QIDQ2104070

Publication date: 9 December 2022

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2022.114893

zbMATH Keywords

Fokker-Planck equation; spectral approximation; proper generalized decomposition; hyperbolic diffusions

Mathematics Subject Classification ID

65F20: Numerical solutions to overdetermined systems, pseudoinverses

65N35: Spectral, collocation and related methods for boundary value problems involving PDEs

60J65: Brownian motion

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs

35R60: PDEs with randomness, stochastic partial differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

35Q84: Fokker-Planck equations