Numerical solution of high dimensional stationary Fokker-Planck equations via tensor decomposition and Chebyshev spectral differentiation

DOI10.1016/j.camwa.2014.04.017zbMath1367.65177MaRDI QIDQ2364231

Yifei Sun, Mrinal Kumar

Publication date: 18 July 2017

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2014.04.017

zbMATH Keywords

Fokker-Planck equation; Chebyshev spectral method; curse of dimensionality; separation of variables; tensor decomposition; numerical partial differential equation

Mathematics Subject Classification ID

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

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35Q84: Fokker-Planck equations

Uses Software

• Matlab