TITLE:
Immersed Interface Method for Fokker-Planck Equation with Discontinuous Drift
AUTHORS:
Boya Zhang, Yaming Chen, Songhe Song
KEYWORDS:
Fokker-Planck Equation, Immersed Interface Method, Brownian Motion, Pure Dry Friction
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.5 No.9,
September
15,
2017
ABSTRACT: The Immersed Interface Method (IIM) is derived to solve the corresponding Fokker-Planck equation of Brownian motion with pure dry friction, which is one of the simplest models of piecewise-smooth stochastic systems. The IIM is capable of treating a discontinuity in the drift of Fokker-Planck equation and it is readily extended to the dry and viscous friction model. Analytic results of the considered model are used to confirm the effectiveness and design accuracy of the scheme.