Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation

作者：Gaviraghi B; Annunziato M^*; Borzi A

来源：Applied Mathematics and Computation, 2017, 294: 1-17.

DOI：10.1016/j.amc.2016.08.050

• Jump-diffusion processes
• Fokker-Planck equation
• Partial integro-differential equation
• Strang-Marchuk splitting
• Chang-Cooper
• Convergence analysis

A splitting implicit-explicit (SIMEX) scheme for solving a partial integro-differential Fokker-Planck equation related to a jump-diffusion process is investigated. This scheme combines the Chang-Cooper method for spatial discretization with the Strang-Marchuk splitting and first- and second-order time discretization methods. It is proved that the SIMEX scheme is second-order accurate, positive preserving, and conservative. Results of numerical experiments that validate the theoretical results are presented.

• 出版日期2017-2-1