Adaptive density tracking by quadrature for stochastic differential equations
نویسندگان
چکیده
Density tracking by quadrature (DTQ) is a numerical procedure for computing solutions to Fokker-Planck equations that describe probability densities stochastic differential (SDEs). In this paper, we extend upon existing trapezoidal rule DTQ procedures utilizing flexible allows unstructured, adaptive meshes. We the N -dimensions, and demonstrate resulting can be significantly more efficient than method. show examples of our problems ranging from one five dimensions.
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ژورنال
عنوان ژورنال: Applied Mathematics and Computation
سال: 2022
ISSN: ['1873-5649', '0096-3003']
DOI: https://doi.org/10.1016/j.amc.2022.127298