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A method for enhancing the stability and robustness of explicit schemes in computational fluid dynamics is presented. The method is based in reformulating explicit schemes in matrix form, which cane modified gradually into semi or…
Particle acceleration by turbulence plays a role in many astrophysical environments. The non- linear evolution of the underlying cosmic-ray spectrum is complex and can be described by a Fokker-Planck equation, which in general has to be…
In this paper we present a direct perturbative method to solving certain Fokker-Planck equations, which have constant diffusion coefficients and some small parameters in the drift coefficients. The method makes use of the connection between…
We demonstrate a method which allows the stochastic modelling of quantum systems for which the generalised Fokker-Planck equation in the phase space contains derivatives of higher than second order. This generalises quantum stochastics far…
We propose a fully discrete finite volume scheme for the standard Fokker-Planck equation. The space discretization relies on the well-known square-root approximation, which falls into the framework of two-point flux approximations. Our time…
We present the results of large scale simulations of 4th order nonlinear partial differential equations of dif- fusion type that are typically encountered when modeling dynamics of thin fluid films on substrates. The simulations are based…
We study a Fokker-Planck equation modelling the firing rates of two interacting populations of neurons. This model arises in computational neuroscience when considering, for example, bistable visual perception problems and is based on a…
We present and investigate a new type of implicit fractional linear multistep method of order two for fractional initial value problems. The method is obtained from the second order super convergence of the Gr\"unwald-Letnikov approximation…
The normalization constraint on probability density poses a significant challenge for solving the Fokker-Planck equation. Normalizing Flow, an invertible generative model leverages the change of variables formula to ensure probability…
This paper deals with the numerical solution of the Heston partial differential equation that plays an important role in financial option pricing, Heston (1993, Rev. Finan. Stud. 6). A feature of this time-dependent, two-dimensional…
This paper introduces alternating-direction implicit (ADI) solvers of higher order of time-accuracy (orders two to six) for the compressible Navier-Stokes equations in two- and three-dimensional curvilinear domains. The higher-order…
A numerical method to solve the fractional diffusion equation, which could also be easily extended to many other fractional dynamics equations, is considered. These fractional equations have been proposed in order to describe anomalous…
An implicit and conservative numerical scheme is proposed for the isotropic quantum Fokker-Planck equation describing the evolution of degenerate electrons subject to elastic collisions with other electrons and ions. The electron-ion and…
A time-stepping $L1$ scheme for solving a time fractional Fokker-Planck equation of order $\alpha \in (0, 1)$, with a general driving force, is investigated. A stability bound for the semi-discrete solution is obtained for…
In several recent works \cite{Causley2013a}, \cite{Causley2013}, we developed a new second order, A-stable approach to wave propagation problems based on the method of lines transpose (MOL$^T$) formulation combined with alternating…
We present a parametric family of semi-implicit second order accurate numerical methods for non-conservative and conservative advection equation for which the numerical solutions can be obtained in a fixed number of forward and backward…
In this paper, we are concerned with the numerical solution for the two-dimensional time fractional Fokker-Planck equation with tempered fractional derivative of order $\alpha$. Although some of its variants are considered in many recent…
Space fractional convection diffusion equation describes physical phenomena where particles or energy (or other physical quantities) are transferred inside a physical system due to two processes: convection and superdiffusion. In this…
The~numerical solutions to a non-linear Fractional Fokker--Planck (FFP) equation are studied estimating the generalized diffusion coefficients. The~aim is to model anomalous diffusion using an FFP description with fractional velocity…
We propose in this paper efficient first/second-order time-stepping schemes for the evolutional Navier-Stokes-Nernst-Planck-Poisson equations. The proposed schemes are constructed using an auxiliary variable reformulation and sophisticated…