Please use this identifier to cite or link to this item: doi:10.22028/D291-26209
Title: Entropy decay of discretized Fokker-Planck equations I - temporal semi-discretization
Author(s): Arnold, Anton
Unterreiter, Andreas
Language: English
Year of Publication: 2002
Free key words: relative entropy
logarithmic Sobolev inequality
DDC notations: 510 Mathematics
Publikation type: Other
Abstract: In this paper we study the large time behavior of a fully implicit semi-discretization (in time) of parabolic Fokker-Planck type equations. Using logarithmic Sobolev inequalities exponential decay of the relative entropy (w.r.t. the steady state) is proved which yields convergence of the discrete scheme towards the unique steady state. The exponential decay rate recovers as \Delta t\downarrow0 the decay rate of the original Fokker-Planck type equations.
Link to this record: urn:nbn:de:bsz:291-scidok-43848
Series name: Preprint / Fachrichtung Mathematik, Universität des Saarlandes
Series volume: 59
Date of registration: 2-Dec-2011
Faculty: MI - Fakultät für Mathematik und Informatik
Department: MI - Mathematik
Collections:SciDok - Der Wissenschaftsserver der Universität des Saarlandes

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