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• W3161401108 abstract "Density tracking by quadrature (DTQ) is a numerical procedure for computing solutions to Fokker-Planck equations that describe probability densities for stochastic differential equations (SDEs). In this paper, we extend upon existing trapezoidal quadrature rule DTQ procedures by utilizing a flexible quadrature rule that allows for unstructured, adaptive meshes. We describe the procedure for N -dimensions, and demonstrate that the resulting adaptive procedure can be significantly more efficient than the trapezoidal DTQ method. We show examples of our procedure for problems ranging from one to five dimensions." @default.
• W3161401108 created "2021-05-24" @default.
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• W3161401108 creator A5053971798 @default.
• W3161401108 date "2022-10-01" @default.
• W3161401108 modified "2023-09-27" @default.
• W3161401108 title "Adaptive density tracking by quadrature for stochastic differential equations" @default.
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• W3161401108 doi "https://doi.org/10.1016/j.amc.2022.127298" @default.
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