Numerical solutions of Fokker-Planck equations with drift-admitting jumps

TL;DR

This paper introduces a finite difference scheme for solving Fokker-Planck equations with jumps, ensuring accurate handling of jump conditions and validated through benchmark problems.

Contribution

A novel finite difference method using staggered grids to accurately solve Fokker-Planck equations with drift-admitting jumps, satisfying matching conditions.

Findings

Successfully solves benchmark problems demonstrating scheme validity.

Accurately captures jump conditions in Fokker-Planck equations.

Provides a stable and efficient numerical approach.

Abstract

We develop a finite difference scheme based on a grid staggered by flux points and solution points to solve Fokker-Planck equations with drift-admitting jumps. To satisfy the matching conditions at the jumps, i.e., the continuities of the propagator and the probability current, the jumps are set to be solution points and used to divide the solution domain into subdomains. While the values of the probability current at flux points are obtained within each subdomain, the values of its first derivative at solution points are evaluated by using stencils across the subdomains. Several benchmark problems are solved numerically to show the validity of the proposed scheme.