A Semi-Lagrangian scheme for the Fokker-Planck equation

摘要

We propose a Semi-Lagrangian scheme for Fokker-Planck equations. The scheme is first order, explicit, preserves non-negativity, conserves the mass and allows large time steps. A modified version is also presented in order to approximate the problem on a bounded domain with mixed Dirichlet and Neumann boundary conditions. We present numerical simulations in one and two dimensions.