Transient numerical approximation of hyperbolic diffusions and beyond

DOI10.1016/J.CAM.2022.114893zbMATH Open1503.65263OpenAlexW4306181055WikidataQ115580967 ScholiaQ115580967MaRDI QIDQ2104070FDOQ2104070

Authors: G. M. Leonenko, T. N. Phillips 

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

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zbMATH Keywords

Fokker-Planck equationproper generalized decompositionspectral approximationhyperbolic diffusions

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Brownian motion (60J65) Fokker-Planck equations (35Q84) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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• Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
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Cited In (2)

• High-order approximation of Pearson diffusion processes
• Numerical approximation of invariant measures for hybrid diffusion systems

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