论文标题
使用两级方案的Fokker-Planck方程的数值解决方案
Numerical solution for Fokker-Planck equation using a two-level scheme
论文作者
论文摘要
提出了使用两级方案对Fokker-Planck方程的数值解决方案。 Fokker-Planck（FP）方程是抛物线类型方程，控制随机过程的概率密度函数的时间演变。 FP方程还保留了总概率的积极性和保守性。 Chang-cooper离散化方案用于以二阶精度确保总概率的积极性和保护。我们研究了一个两级方案，具有第三次煤策略，并大大减少了计算和CPU时间。进行数值实验，以验证使用向后差异方案的提出的两级算法的效率和二阶精度。
A numerical solution to the Fokker-Planck equation using a two-level scheme is presented. The Fokker-Planck (FP) equation is of parabolic type equation govern the time evolution of probability density function of the stochastic processes. The FP equation also preserves the positivity and conservative of the total probability. A Chang-Cooper discretization scheme is used to ensure the positiveness and conservation of the total probability with second-order accuracy. We investigate a two-level scheme with factor-three-coarsening strategy and have a significant reduction in computations and CPU time. Numerical experiments are performed to validate the efficiency and second-order accuracy of the proposed two-level algorithm with backward time-difference schemes.
