A semi-lagrangian method for 3-D Fokker Planck equations for stochastic dynamical systems on the sphere
Abstract
In this paper, we consider stochastic dynamical systems on the sphere and the associated Fokker-Planck equations. A semi-Lagrangian method combined with a Finite Volume discretization of the sphere is presented to solve the Fokker-Planck equation. The method is applied to a typical problem in fiber dynamics and textile production. The numerical results are compared to explicit solutions and Monte-Carlo solutions.
