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A lattice Boltzmann model for the Fokker-Planck equation. (English) Zbl 1252.35265
Summary: In this paper, a lattice Boltzmann model is presented for solving one and two-dimensional Fokker-Planck equations with variable coefficients. In particular, it is efficient to simulate one-dimensional stochastic processes governed by the Fokker-Planck equation. Numerical results agree well with the exact solutions, which indicates that the proposed model is suitable for solving the Fokker-Planck equation.

MSC:
35Q84 Fokker-Planck equations
35R60 PDEs with randomness, stochastic partial differential equations
60G20 Generalized stochastic processes
65M22 Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs
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