1.
Discretizing the Fokker-Planck equation with second-order accuracy: a dissipation driven approach
Clément Cancès
(Inria)
4/16/25, 10:30 AM
We propose a fully discrete finite volume scheme for the standard Fokker-Planck equation. The space discretization relies on the well-known square-root approximation, which falls into the framework of two-point flux approximations. Our time discretization is novel and relies on a tailored nonlinear mid-point rule, designed to accurately capture the dissipative structure of the model. We...