2000
DOI: 10.1088/0305-4470/33/27/311
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A unified approach for the solution of the Fokker-Planck equation

Abstract: This paper explores the use of a discrete singular convolution algorithm as a unified approach for numerical integration of the Fokker-Planck equation. The unified features of the discrete singular convolution algorithm are discussed. It is demonstrated that different implementations of the present algorithm, such as global, local, Galerkin, collocation, and finite difference, can be deduced from a single starting point. Three benchmark stochastic systems, the repulsive Wong process, the Black-Scholes equation… Show more

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Cited by 83 publications
(101 citation statements)
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“…The second inequality indicates that if ratio r is chosen, then an appropriate computational support can be used to ensure a given accuracy 10 Àg . This theoretical estimation is in good agreement with previous numerical tests (Wei, 2000a). The implementation of the DSC algorithm for structural analysis is described below.…”
Section: Discrete Singular Convolutionsupporting
confidence: 88%
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“…The second inequality indicates that if ratio r is chosen, then an appropriate computational support can be used to ensure a given accuracy 10 Àg . This theoretical estimation is in good agreement with previous numerical tests (Wei, 2000a). The implementation of the DSC algorithm for structural analysis is described below.…”
Section: Discrete Singular Convolutionsupporting
confidence: 88%
“…For integrity and convenience, the DSC algorithm is briefly reviewed in this section. However, the reader is referred to the original work for more detailed information (Wei, 1999a(Wei, , 2000a(Wei, , 2001a. The implementation of the DSC algorithm to plate analysis is described.…”
Section: The Problem and Methods Of Solutionmentioning
confidence: 99%
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