New approach for numerical solution of Fokker-Planck equations

International Journal of Applied Mathematics and Computation

Mohammad Zarebnia²  S. Jalili¹ 

[1] $$;University of Mohaghegh Ardabili$$

关键词: Chebyshev polynomials;    Spectral collocation method;    Fokker-Planck equation;    Kolmogorov equation.;   

DOI  :  10.0000/ijamc.2011.3.3.300

来源: PSIT Kanpur

【 摘 要 】

In this paper numerical solution of Fokker-Planckequations by means of the Chebyshev spectral collocation method is considered. Firstly, properties of the Chebyshev spectral collocation method required for our subsequent development are given and utilized to r duce the computation of different kinds of Fokker-Planck equations to some system of ordinary differential equations. Secondly, we use fourth-order Runge-Kutta formula for the numerical solution of the system of ordinary differential equations. The method is applied to a few test examples to illustrate the accuracy and the implementation of the method.

【 授权许可】

Unknown