@article{Article_25,

title = {Numerical solutions of Fokker-Planck Equation based on Hermite functions},

journal = {Communications in Combinatorics, Cryptography & Computer Science},

volume = {2022},

issue = {1},

issn = { 2783-5456 },

year = {2022},

url = {http://cccs.sgh.ac.ir/Articles/2022/issue 1/1-1-NumericalSolutionsOfFokkerPlanckEquationbasedonHermitefunctions.pdf},

author = {Manoochehr Khasi and Fereshteh Samadi},

keywords = {Fokker-Planck equation, Hermite functions, spectral Galerkin method.},

abstract = {In this research study, a spectral method based on Hermite functions is considered to solve the Fokker--Planck equation which is an equation governed by the time evolution of probability density function of the stochastic processes. Spatially the equation is discretized using a Galerkin method based on Hermite functions and the system of a first--order ordinary differential equation is obtained. Using an eigenvalue decomposition technique, the equation is transformed into a set of independent ordinary differential equations that can be solved analytically. Some numerical examples are included to show the accuracy and efficiency of the proposed approach.}

};