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A structure preserving scheme for the Kolmogorov–Fokker–Planck equation.
- Source :
-
Journal of Computational Physics . Feb2017, Vol. 330, p319-339. 21p. - Publication Year :
- 2017
-
Abstract
- In this paper we introduce a numerical scheme which preserves the behavior of solutions to the Kolmogorov Equation as time tends to infinity. The method presented is based on a self-similar change of variables technique to transform the Kolmogorov Equation into a new form, such that the problem of designing structure preserving schemes, for the original equation, amounts to building a standard scheme for the transformed equation. This transformation also has the added benefit of allowing for an exact operator splitting scheme, whereas in the original form a standard operator splitting was only second-order. Finally, we verify the preservation of long time behavior through numerical simulations. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00219991
- Volume :
- 330
- Database :
- Academic Search Index
- Journal :
- Journal of Computational Physics
- Publication Type :
- Academic Journal
- Accession number :
- 120158502
- Full Text :
- https://doi.org/10.1016/j.jcp.2016.11.009