Fifth-order finite-difference scheme for Fokker-Planck equations with drift-admitting jumps

Abstract

Recently a useful finite-difference scheme was proposed in [Phys. Rev. E 98, 033302 (2018)] to solve Fokker-Planck equations with drift-admitting jumps. However, while the scheme is fifth order for the case with smooth drifts, it is only second order for the case with discontinuous drifts. To rectify this, we propose in this paper an improved scheme that achieves a fifth-order convergence rate for the case with drift-admitting jumps. Numerical experiments are also employed to verify the validity of the scheme.