Data-dependent density estimation for the Fokker-Planck equation in higher dimensions
Numerical Analysis
2024-01-29 v1 Numerical Analysis
Abstract
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 equation and a histogram method for tree-structured density estimation on a data-dependent partitioning of the state space R^d.
Cite
@article{arxiv.2401.14685,
title = {Data-dependent density estimation for the Fokker-Planck equation in higher dimensions},
author = {Max Jensen and Fabian Merle and Andreas Prohl},
journal= {arXiv preprint arXiv:2401.14685},
year = {2024}
}