Numerical solutions of Fokker-Planck equations with drift-admitting jumps

Abstract

We develop a finite difference scheme based on a grid staggered by flux points and solution points to solve Fokker-Planck equations with drift-admitting jumps. To satisfy the matching conditions at the jumps, i.e., the continuities of the propagator and the probability current, the jumps are set to be solution points and used to divide the solution domain into subdomains. While the values of the probability current at flux points are obtained within each subdomain, the values of its first derivative at solution points are evaluated by using stencils across the subdomains. Several benchmark problems are solved numerically to show the validity of the proposed scheme.