Algorithms Of High Dimensional FPK Equitation

The exact stationary solutions for high-dimensional Fokker-Planck-Kolmogorov(FPK) equation are usually obtained under strict conditions. The FPK equation is usually solved numerically. Several methods such as path integral method, finite difference method etal, have been employed to numerically solve the FPK equation. It is still a task work tc numerically solve the high-dimensional FPK equation due to the very high degree-of-freedom. The finite difference method and successive over-relaxation interation are employed to solve the high-dimensional FPK equation in the present paper. The efficiency and accuracy of the proposed procedures for different order of difference form and the factor of successive over-relaxation are disscussed. The...