Parallelizing the Kolmogorov-Fokker-Planck Equation

Abstract

We design two parallel schemes, based on Schwarz Waveform Relaxation (SWR) procedures, for the numerical solution of the Kolmogorov equation. The latter is a simplified version of the Fokker-Planck equation describing the time evolution of the probability density of the velocity of a particle. SWR procedures decompose the spatio- temporal computational domain into subdomains and solve (in parallel) subproblems, that are coupled through suitable conditions at the interfaces to recover the solution of the global problem. We consider coupling conditions of both Dirichlet (Classical SWR) and Robin (Optimized SWR) types. We prove well-posedeness of the schemes subproblems and convergence for the proposed algorithms. We corroborate our findings with some numerical tests.