Numerical solution of two dimensional Fokker—Planck equations

摘要

We present a robust finite difference scheme for the integration of the Fokker—Planck (FP) equation with two variables plus time. The scheme is checked with problems where analytical solutions exist and it is compared with finite element codes, as well as with simulations of the associated Stochastic Differential Equation (SDE). The precision and stability of the scheme are verified.