Author(s)
Artemiev Sergey,
Marchenko Michail
Abstract

The paper considers the algorithm of numerical solution of the Focker-Plank-Kolmogorov equation for the probability density of a solution of a stochastic differential equation. Its solution is approximated by cubic splines on the time-dependent moving grid.

File
artemev.pdf1.95 MB
Issue
Numerical Analysis, № 7, 1996
Pages
1-6