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An efficient algorithm based on Haar wavelets for numerical simulation of Fokker-Planck equations with constants and variable coefficients. (English) Zbl 1357.65194

Summary: Purpose{ } - The purpose of this paper is to discuss the application of the Haar wavelets for solving linear and nonlinear Fokker-Planck equations with appropriate initial and boundary conditions. { }Design/methodology/approach{ } - Haar wavelet approach converts the problems into a system of linear algebraic equations and the obtained system is solved by Gauss-elimination method. { }Findings{ } - The accuracy of the proposed scheme is demonstrated on three test examples. The numerical solutions prove that the proposed method is reliable and yields compatible results with the exact solutions. { }Originality/value{ } - The developed scheme is a new scheme for Fokker-Planck equations. The scheme based on Haar wavelets is expended for nonlinear partial differential equations with variable coefficients.

MSC:

65M70 Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs
35Q84 Fokker-Planck equations
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