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Efficient projection method for a system of differential equations of Fokker−Planck type

  • Alexander I. Noarov EMAIL logo
Published/Copyright: June 2, 2019

Abstract

A system of ordinary differential equations describing a stationary distribution of a Markov process with the phase space R × {1, 2, …, M} is considered. The finite element method is proposed for calculation of its solution as a probability density.

MSC 2010: 65L60; 60J60

References

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Received: 2019-01-31
Accepted: 2019-03-05
Published Online: 2019-06-02
Published in Print: 2019-06-26

© 2019 Walter de Gruyter GmbH, Berlin/Boston

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