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We propose a new semi-discretization scheme to approximate nonlinear Fokker-Planck equations, by exploiting the gradient flow structures with respect to the 2-Wasserstein metric.
A practical difference scheme for Fokker-Planck equations
J. Chang and G. Cooper · 1970
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D. Benedetto, E. Caglioti, J. Carrillo and M. Pulvirenti · 1998
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The variational formulation of the Fokker–Planck equation
R. Jordan, D. Kinderlehrer, and F. Otto · 1998
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Fokker–Planck equations for a free energy functional or Markov process on a graph
S.N. Chow, W. Huang, Y. Li and H. Zhou · 2012
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Ricci curvature of finite Markov chains via convexity of the entropy
M. Erbar and J. Maas · 2012
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A finite-volume method for nonlinear nonlocal equations with a gradient flow structure
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J.A. Carrillo, Y. Huang, F.S. Patacchini and G. Wolansky · 2015
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On the Chang and Cooper scheme applied to a linear Fokker-Planck equation
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