Rigorous Analysis for Efficient Statistically Accurate Algorithms for Solving Fokker-Planck Equations in Large Dimensions

  title={Rigorous Analysis for Efficient Statistically Accurate Algorithms for Solving Fokker-Planck Equations in Large Dimensions},
  author={Nan Chen and Andrew J. Majda and Xin T. Tong},
  journal={SIAM/ASA J. Uncertain. Quantification},
This article presents a rigorous analysis for efficient statistically accurate algorithms for solving the Fokker-Planck equations associated with high-dimensional nonlinear turbulent dynamical systems with conditional Gaussian structures. Despite the conditional Gaussianity, these nonlinear systems contain many strong non-Gaussian features such as intermittency and fat-tailed probability density functions (PDFs). The algorithms involve a hybrid strategy that requires only a small number of… 

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