An efficient data-driven solver for Fokker-Planck equations: algorithm and analysis

DOI10.4310/CMS.2022.v20.n3.a8zbMath1497.65016arXiv1906.02600OpenAlexW2948904999MaRDI QIDQ2129665

Matthew Dobson, Yao Li, Jiayu Zhai

Publication date: 22 April 2022

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.02600

zbMATH Keywords

Fokker-Planck equationMonte Carlo simulationdata-driven method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Fokker-Planck equations (35Q84)

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