A Semi-Lagrangian Method for 3-D Fokker Planck Equations for Stochastic Dynamical Systems on the Sphere |
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| Authors: | A. Roth A. Klar B. Simeon E. Zharovsky |
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| Affiliation: | 1. Department of Mathematics, Technische Universit?t Kaiserslautern, Erwin-Schr?dinger-Stra?e, 67663?, Kaiserslautern, Germany
2. Fraunhofer ITWM, Fraunhoferplatz 1, 67663?, Kaiserslautern, Germany
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| Abstract: | In this paper, we consider stochastic dynamical systems on the sphere and the associated Fokker–Planck equations. A semi-Lagrangian method combined with a Finite Volume discretization of the sphere is presented to solve the Fokker–Planck equation. The method is applied to a typical problem in fiber dynamics and textile production. The numerical results are compared to explicit solutions and Monte-Carlo solutions. |
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