A Structure Preserving Scheme for the Kolmogorov-Fokker-Planck Equation

Abstract

In this paper we introduce a numerical scheme which preserves the long time behavior of solutions to the Kolmogorov equation. The method presented is based on a self-similar change of variables technique to transform the Kolmogorov equation into a new form, such that the problem of designing structure preserving schemes, for the original equation, amounts to building a standard scheme for the transformed equation. We also present an analysis for the operator splitting technique for the self-similar method and numerical results for the described scheme.