On the properties of representation of the Fokker-Planck equation in the Hermite function basis

2007 ◽  
Vol 144 (4) ◽  
pp. 4234-4240
Author(s):  
E. V. Radkevich
2016 ◽  
Author(s):  
Huda Mohd. Ramli ◽  
J. Gavin Esler

Abstract. A rigorous methodology for the evaluation of integration schemes for Lagrangian particle dispersion models (LPDMs) is presented. A series of one-dimensional test problems are introduced, for which the Fokker-Planck equation is solved numerically using a finite-difference discretisation in physical space, and a Hermite function expansion in velocity space. Numerical convergence errors in the Fokker-Planck equation solutions are shown to be much less than the statistical error associated with a practical-sized ensemble (N = 106) of LPDM solutions, hence the former can be used to validate the latter. The test problems are then used to evaluate commonly used LPDM integration schemes. The results allow for optimal time-step selection for each scheme, given a required level of accuracy. The following recommendations are made for use in operational models. First, if computational constraints require the use of moderate to long time steps it is more accurate to solve the random displacement model approximation to the LPDM, rather than use existing schemes designed for long time-steps. Second, useful gains in numerical accuracy can be obtained, at moderate additional computational cost, by using the relatively simple "small-noise" scheme of Honeycutt.


2016 ◽  
Vol 9 (7) ◽  
pp. 2441-2457 ◽  
Author(s):  
Huda Mohd. Ramli ◽  
J. Gavin Esler

Abstract. A rigorous methodology for the evaluation of integration schemes for Lagrangian particle dispersion models (LPDMs) is presented. A series of one-dimensional test problems are introduced, for which the Fokker–Planck equation is solved numerically using a finite-difference discretisation in physical space and a Hermite function expansion in velocity space. Numerical convergence errors in the Fokker–Planck equation solutions are shown to be much less than the statistical error associated with a practical-sized ensemble (N = 106) of LPDM solutions; hence, the former can be used to validate the latter. The test problems are then used to evaluate commonly used LPDM integration schemes. The results allow for optimal time-step selection for each scheme, given a required level of accuracy. The following recommendations are made for use in operational models. First, if computational constraints require the use of moderate to long time steps, it is more accurate to solve the random displacement model approximation to the LPDM rather than use existing schemes designed for long time steps. Second, useful gains in numerical accuracy can be obtained, at moderate additional computational cost, by using the relatively simple “small-noise” scheme of Honeycutt.


1989 ◽  
Vol 9 (1) ◽  
pp. 109-120
Author(s):  
G. Liao ◽  
A.F. Lawrence ◽  
A.T. Abawi

2020 ◽  
Vol 23 (2) ◽  
pp. 450-483 ◽  
Author(s):  
Giacomo Ascione ◽  
Yuliya Mishura ◽  
Enrica Pirozzi

AbstractWe define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of such process are investigated and the existence of the density is shown. We also provide a generalized Fokker-Planck equation for the density of the process.


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