Thanks for your immediate response (and sorry for using the shortcuts without explaining)!
> > 2. Like I said, the corresponding SDE is stiff which has already > > turned that implementation into quite a painful experience. I do not > > have the time right now to sift through the literature, so I am > > wondering whether FiPy can be used at all to tackle this simulation. > > Or do I have to use a specially-designed algorithm to simulate this? > > We're going to need to know a lot more information about what you're > trying to solve. Definitions of "FPE" and "SDE" would be good places > to start. I have a stiff stochastic differential equation (SDE) of second order in time that I have already implemented. We are hence talking about a 2d stiff stochastic dynamical system being equivalent to the original SDE. Now, I want to study the corresponding Fokker-Planck Equation (FPE) - which is a partial differential equation - to learn about the time evolution of the probability density of the system. I want to do this with FiPy which I have already used in a much easier case. Under the assumption that a stiff SDE has also a stiff FPE, can I use FiPy for this? Do you have any experiences with that? A natural way would be to use only implicit schemes which are known to be more stable in case of stiff equations but I am not sure if just typing ImplicitDiffusionTerm(...) leads to stable results, hence the question for experiences already made using FiPy in such a case. Thanks for helping, Oliver -- Sicherer, schneller und einfacher. Die aktuellen Internet-Browser - jetzt kostenlos herunterladen! http://portal.gmx.net/de/go/chbrowser
