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 hdl:20.500.11880/26265 http://dx.doi.org/10.22028/D291-26209 |
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 |
Files for this record:
File | Description | Size | Format | |
---|---|---|---|---|
preprint_59_02.pdf | 281,71 kB | Adobe PDF | View/Open |
Items in SciDok are protected by copyright, with all rights reserved, unless otherwise indicated.