Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients

DOI10.1016/j.cam.2014.05.024zbMath1295.65101MaRDI QIDQ2510016

G. M. Leonenko, Timothy N. Phillips

Publication date: 31 July 2014

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.2014.05.024

zbMATH Keywords

singular value decomposition; Fokker-Planck equations; spectral method; numerical result; Pearson diffusions; adaptive basis

Mathematics Subject Classification ID

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

35Q84: Fokker-Planck equations