Numeric Solution of the Fokker-Planck-Kolmogorov Equation

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The solution of an n-dimensional stochastic differential equation driven by Gaussian white noises is a Markov vector. In this way, the transition joint probability density function (JPDF) of this vector is given by a deterministic parabolic partial differential equation, the so-called Fokker-Planck-Kolmogorov (FPK) equation. There exist few exact solutions of this equation so that the analyst must resort to approximate or numerical procedures. The finite element method (FE) is among the latter, and is reviewed in this paper. Suitable computer codes are written for the two fundamental versions of the FE method, the Bubnov-Galerkin and the Petrov-Galerkin method. In order to reduce the computational effort, which is to reduce the number of nodal points, the following refinements to the method are proposed: 1) exponential (Gaussian) weighting functions different from the shape functions are tested; 2) quadratic and cubic splines are used to interpolate the nodal values that are known in a limited number of points. In the applications, the transient state is studied for first order systems only, while for second order systems, the steady-state JPDF is determined, and it is compared with exact solutions or with simulative solutions: a very good agreement is found.

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