Numerical solution of non-linear Fokker–Planck equation using finite differences method and the cubic spline functions

Behnam Sepehrian and Marzieh Karimi Radpoor

Applied Mathematics and Computation, 2015, vol. 262, issue C, 187-190

Abstract: In this paper we proposed a finite difference scheme for solving the nonlinear Fokker–Planck equation. We apply a finite difference approximation for discretizing spatial derivatives. Then we use the cubic C1-spline collocation method which is an A-stable method for the time integration of the resulting nonlinear system of ordinary differential equations. The proposed method has second-order accuracy in space and fourth-order accuracy in time variables. The numerical results confirm the validity of the method.

Keywords: Collocation technique; Cubic spline; Finite differences method; Nonlinear Fokker–Planck equation; Partial differential equations (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:262:y:2015:i:c:p:187-190

DOI: 10.1016/j.amc.2015.03.062

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