The Numerical Solution of the TVD Runge-Kutta and WENO Scheme to the FPK Equations to Nonlinear System of One-Dimension

摘要

Firstly, it was studied to the Fokker-Planck-Kolmogorov (FPK) equations for nonlinear stochastic dynamic system. Secondly, it was discussed to the third-order TVD Runge-Kutta difference scheme totime for differitial equations and the fifth-order WENO scheme for differitial operators. And combined he third-order TVD Runge-Kutta difference scheme with the fifth-order WENO scheme, obtained the numerical solution for FPK equations using the TVD Runge-Kutta WENO scheme. Finally, the numerical solution was compared with the analytic solution for FPK equations. The numerical method is shown to give accurate results and overcomes the difficulties of other methods, such as: the big value of probability density function at tail etc.