Related papers: A spectral-based numerical method for Kolmogorov e…
We formulate a short-time expansion for one-dimensional Fokker-Planck equations with spatially dependent diffusion coefficients, derived from stochastic processes with Gaussian white noise, for general values of the discretization parameter…
We study convergence in variation of probability solutions of nonlinear Fokker-Planck-Kolmogorov equations to stationary solutions. We obtain sufficient conditions for the exponential convergence of solutions to the stationary solution in…
The Fokker-Planck (FP) equation governing the evolution of the probability density function (PDF) is applicable to many disciplines but it requires specification of the coefficients for each case, which can be functions of space-time and…
We find a numerical self-consistent stellar model by finding the distribution function of a thin disk that satisfies simultaneously the Fokker-Planck and Poisson equations. The solution of the Fokker-Planck equation is found by a direct…
This paper deals with uncertainty propagation of general stochastic hybrid systems (GSHS) where the continuous state space is a compact Lie group. A computational framework is proposed to solve the Fokker-Planck (FP) equation that describes…
We prove existence of a probability solution to the nonlinear stationary Fokker-Planck-Kolmogorov equation on an infinite dimensional space with a centered Gaussian measure $\gamma$ with a unit diffusion operator and a drift of the form…
This paper presents an efficient spectral method for solving the fractional Fredholm integro-differential equations. The non-smoothness of the solutions to such problems leads to the performance of spectral methods based on the classical…
We solve a physically significant extension of a classic problem in the theory of diffusion, namely the Ornstein-Uhlenbeck process [G. E. Ornstein and L. S. Uhlenbeck, Phys. Rev. 36, 823, (1930)]. Our generalised Ornstein-Uhlenbeck systems…
In this paper, we investigate a spectral Petrov-Galerkin method for fractional initial value problems. Singularities of the solution at the origin inherited from the weakly singular kernel of the fractional derivative are considered, and…
It is pointed out that, for the fractional Fokker-Planck equation for subdiffusion proposed by Metzler, Barkai, and Klafter [Phys. Rev. Lett. 82 (1999) 3563], there are four types of infinitely many exact solutions associated with the newly…
In this paper, we investigate the fundamental solution of the fractional Fokker-Planck equation. Utilizing the Littlewood-Paley decomposition technology, we present a concise proof of the pointwise estimate for the fundamental solution.
In this paper, we introduce and analyse numerical schemes for the homogeneous and the kinetic L\'evy-Fokker-Planck equation. The discretizations are designed to preserve the main features of the continuous model such as conservation of…
We present a numerical method to accurately simulate particle size distributions within the formalism of rate equation cluster dynamics. This method is based on a discretization of the associated Fokker-Planck equation. We show that…
We develop a unified Petrov-Galerkin spectral method for a class of fractional partial differential equations with two-sided derivatives and constant coefficients of the form $ _{0}{\mathcal{D}}_{t}^{2\tau}u^{} + \sum_{i=1}^{d}$ $[c_{l_i}$…
This paper presents a new type of Gronwall-Bellman inequality, which arises from a class of integral equations with a mixture of nonsingular and singular integrals. The new idea is to use a binomial function to combine the known…
We introduce a novel spatio-temporal discretization for nonlinear Fokker-Planck equations on the multi-dimensional unit cube. This discretization is based on two structural properties of these equations: the first is the representation as a…
We present a new strategy to approximate the global solution of the Fokker-Planck equation efficiently in higher dimensions and show its convergence. The main ingredients are the Euler scheme to solve the associated stochastic differential…
The aim of this article is to construct solutions to second order in time stochastic partial differential equations and to show hypocoercivity of the corresponding transition semigroups. More generally, we analyze non-linear…
In this paper we introduce a numerical scheme which preserves the long time behavior of solutions to the Kolmogorov equation. The method presented is based on a self-similar change of variables technique to transform the Kolmogorov equation…
In this paper we consider the numerical solution of fractional differential equations. In particular, we study a step-by-step graded mesh procedure based on an expansion of the vector field using orthonormal Jacobi polynomials. Under mild…