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| Stationary solutions of high dimensional reduced FPK equation using both finite difference method and successive over-relaxation method |
| Revised:March 26, 2006 |
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| DOI：10.7511/jslx20082035 |
| KeyWord:finite difference method,successive over-relaxation method,FPK equation |
| HUANG Zhi-long ZHANG Li-qiang |
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| Abstract: |
| The combination of finite difference method and successive over-relaxation method is employed to numerically get the stationary solution of high dimensional reduced Fokker-Planck-Kolmogorov(FPK)equation.The effects of different order of central difference scheme,the mesh density and factor of successive over-relaxation on the convergence and accuracy of numerical solution are discussed.A multi-mesh iterative method is proposed to improve the efficiency and accuracy of numerical solution.Two examples are given to illustrate the application of the proposed procedures. |