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ISSN Печать: 2152-5080
ISSN Онлайн: 2152-5099
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A HERMITE SPECTRAL METHOD FOR A FOKKER-PLANCK OPTIMAL CONTROL PROBLEM IN AN UNBOUNDED DOMAIN
Краткое описание
A Hermite spectral discretization method to approximate the solution of a Fokker-Planck optimal control problem in an unbounded domain is presented. It is proved that the solution of the corresponding discretized optimality system is spectrally accurate and the numerical scheme preserves the required conservativity property of the forward solution. The theoretical results are verified with numerical experiments.
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Bogachev V.I., Röckner M., Shaposhnikov S.V., Distances between transition probabilities of diffusions and applications to nonlinear Fokker–Planck–Kolmogorov equations, Journal of Functional Analysis, 271, 5, 2016. Crossref
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Mizerová Hana, She Bangwei, A conservative scheme for the Fokker–Planck equation with applications to viscoelastic polymeric fluids, Journal of Computational Physics, 374, 2018. Crossref