A Rosenau-type approach to the approximation of the linear Fokker-Planck equation

The numerical approximation of the solution of the Fokker-Planck equation is a challenging problem that has been extensively investigated starting from the pioneering paper of Chang and Cooper in 1970 [8]. We revisit this problem at the light of the approximation of the solution to the heat equation proposed by Rosenau [25]. Further, by means of the same idea, we address the problem of a consistent approximation to higher-order linear diffusion equations.