Convergences of the squareroot approximation scheme to the Fokker–Planck operator

Abstract

We study the qualitative convergence behavior of a novel FV-discretization scheme of the Fokker–Planck equation, the squareroot approximation scheme (SQRA), that recently was proposed by Lie, Fackeldey and Weber [A square root approximation of transition rates for a markov state model, SIAM J. Matrix Anal. Appl. 34 (2013) 738–756] in the context of conformation dynamics. We show that SQRA has a natural gradient structure and that solutions to the SQRA equation converge to solutions of the Fokker–Planck equation using a discrete notion of G-convergence for the underlying discrete elliptic operator. The SQRA does not need to account for the volumes of cells and interfaces and is tailored for high-dimensional spaces. However, based on FV-discretizations of the Laplacian it can also be used in lower dimensions taking into account the volumes of the cells. As an example, in the special case of stationary Voronoi tessellations, we use stochastic two-scale convergence to prove that this setting satisfies the G-convergence property.