Fokker-Planck equations

Wednesday, June 22, 2016 - 3:15pm - 4:05pm
Yingfei Yi (University of Alberta)
*also affiliated with Jilin University
Thursday, January 17, 2013 - 2:00pm - 2:50pm
Michael Röckner (Universität Bielefeld)
We present a new uniqueness result for solutions to Fokker–Planck–Kolmogorov (FPK) equations for probability measures on infinite-dimensional spaces. We consider infinite-dimensional drifts that admit certain finite dimensional approximations. In contrast to most of the previous work on FPK-equations in infinite dimensions, we include cases with non-constant coefficients in the second order part and also include degenerate cases where these can even be zero, i.e. we prove uniqueness of solutions to continuity equations. Also new existence results are proved.
Wednesday, November 3, 2010 - 10:45am - 11:30am
Jie Shen (Purdue University)
Many scientific, engineering and financial applications require
solving high-dimensional PDEs. However, traditional tensor product
based algorithms suffer from the so called curse of dimensionality.

We shall construct a new sparse spectral method for
high-dimensional problems, and present, in particular,
rigorous error estimates as well as efficient numerical algorithms for
elliptic equations.

We shall also propose a new weighted weak formulation for
the Fokker-Planck equation of FENE dumbbell model, and prove its
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