Numerical simulation of Feller's diffusion equation
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Publication:6325893
DOI10.3390/MATH7111067arXiv1909.10944WikidataQ126831329 ScholiaQ126831329MaRDI QIDQ6325893FDOQ6325893
Publication date: 17 September 2019
Abstract: This article is devoted to Feller's diffusion equation which arises naturally in probabilities and physics (e.g. wave turbulence theory). If discretized naively, this equation may represent serious numerical difficulties since the diffusion coefficient is practically unbounded and most of its solutions are weakly divergent at the origin. In order to overcome these difficulties we reformulate this equation using some ideas from the Lagrangian fluid mechanics. This allows us to obtain a numerical scheme with a rather generous stability condition. Finally, the algorithm admits an elegant implementation and the corresponding Matlab code is provided with this article under an open source license.
Initial-boundary value problems for second-order parabolic equations (35K20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
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