Abstract:In this paper we propose a high-order numerical scheme for linear Fokker-Planck equations with a constant diffusion term. The scheme, which is built by combining Lagrange-Galerkin and semi-Lagrangian techniques, is explicit, conservative, consistent, and stable for large time steps compared with the space steps. We provide a convergence analysis for the exactly integrated Lagrange-Galerkin scheme, and we propose an implementable version with inexact integration. Our main application is the construction of a hi… Show more
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