Numerical Study of WENO Scheme Method and Application in Fokker-Planck Equation

WENO schemes are based on ENO schemes. The key idea of ENO schemes is to use the "smoothest" stencil among several candidates to approximate the fluxes at cell boundaries to a high order accuracy and at the same time to avoid spurious oscillations near shocks. In the FPE with levy motion, there will be jump point in the solution, which can be well dealt with by using WENO scheme. It also gives us enough accurate order of diffusion part as same as the order of integral part.

Event Topic

Stochastic & Multiscale Modeling and Computation