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Title: A unified approach for the solution of the Fokker-Planck equation
Authors: Wei, G.W. 
Issue Date: 14-Jul-2000
Citation: Wei, G.W. (2000-07-14). A unified approach for the solution of the Fokker-Planck equation. Journal of Physics A: Mathematical and General 33 (27) : 4935-4953. ScholarBank@NUS Repository.
Abstract: This paper explores the use of a discrete singular convolution algorithm as a unified approach for numerical integration of the Fokker-Planck equation. The unified features of the discrete singular convolution algorithm are discussed. It is demonstrated that different implementations of the present algorithm, such as global, local, Galerkin, collocation and finite difference, can be deduced from a single starting point. Three benchmark stochastic systems, the repulsive Wong process, the Black-Scholes equation and a genuine nonlinear model, are employed to illustrate the robustness and to test the accuracy of the present approach for the solution of the Fokker-Planck equation via a time-dependent method. An additional example, the incompressible Euler equation, is used to further validate the present approach for more difficult problems. Numerical results indicate that the present unified approach is robust and accurate for solving the Fokker-Planck equation.
Source Title: Journal of Physics A: Mathematical and General
ISSN: 03054470
DOI: 10.1088/0305-4470/33/27/311
Appears in Collections:Staff Publications

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