On a structure-preserving numerical method for fractional Fokker-Planck equations
Nathalie Ayi, Maxime Herda, Hélène Hivert, Isabelle Tristani
Source abstract
In this paper, we introduce and analyse numerical schemes for the homogeneous and the kinetic Lévy-Fokker-Planck equation. The discretizations are designed to preserve the main features of the continuous model such as conservation of mass, heavy-tailed equilibrium and (hypo)coercivity properties. We perform a thorough analysis of the numerical scheme and show exponential stability and convergence of the scheme. Along the way, we introduce new tools of discrete functional analysis, such as discrete non-local Poincaré and interpolation inequalities adapted to fractional diffusion. Our theoretical findings are illustrated and complemented with numerical simulations.
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