Numerical methods for the two-dimensional Fokker-Planck equation governing the probability density function of the tempered fractional Brownian motion
2018
In this paper, we study the numerical schemes for the two-dimensional Fokker-Planck equation governing the probability density function of the tempered fractional Brownian motion. The main challenges of the numerical schemes come from the singularity in the time direction. When $0change of variables $\partial \left(t^{2H}\right)=2Ht^{2H-1}\partial t$ avoids the singularity of numerical computation at $t=0$, which naturally results in nonuniform time discretization and greatly improves the computational efficiency. For $0.5Fokker-Planck equation, we obtain the mean squared displacement of stochastic processes, which conforms to the characteristics of the tempered fractional Brownian motion.
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