Structure preserving schemes for Fokker–Planck equations with nonconstant diffusion matrices

Nadia Loy and Mattia Zanella

Mathematics and Computers in Simulation (MATCOM), 2021, vol. 188, issue C, 342-362

Abstract: In this work we consider an extension of a recently proposed structure preserving numerical scheme for nonlinear Fokker–Planck-type equations to the case of nonconstant full diffusion matrices. While in existing works the schemes are formulated in a one-dimensional setting, here we consider exclusively the two-dimensional case. We prove that the proposed schemes preserve fundamental structural properties like nonnegativity of the solution without restriction on the size of the mesh and entropy dissipation. Moreover, all the methods presented here are at least second order accurate in the transient regimes and arbitrarily high order for large times in the hypothesis in which the flux vanishes at the stationary state. Suitable numerical tests will confirm the theoretical results.

Keywords: Fokker–Planck equations; Positivity preserving; Structure preserving methods; Finite difference schemes (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:188:y:2021:i:c:p:342-362

DOI: 10.1016/j.matcom.2021.04.018

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