Premium
Investigations on the numerical solution of the Fokker‐Planck equation with discontinuous Galerkin Methods
Author(s) -
Loerke Friederike,
Nackenhorst Udo
Publication year - 2011
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.201110156
Subject(s) - fokker–planck equation , classification of discontinuities , galerkin method , stability (learning theory) , mathematics , nonlinear system , markov process , discontinuous galerkin method , statistical physics , physics , mathematical analysis , classical mechanics , partial differential equation , computer science , finite element method , quantum mechanics , thermodynamics , statistics , machine learning
Nonlinear dynamic systems under stochastic excitation possess Markov characteristics. Thus, their stochastic equation of motion can be transformed into the Fokker‐Planck equation which describes the evolution of the probability density. A discontinuous Galerkin (DG) method is applied to solve the Fokker‐Planck equation. This method provides numerical stability as well as accuracy and is able to treat discontinuities of the solution. (© 2011 Wiley‐VCH Verlag GmbH & Co. KGaA, Weinheim)
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom