  A numerical solution to the Fokker-Planck equation using a two-level scheme
is presented. The Fokker-Planck (FP) equation is of parabolic type equation
govern the time evolution of probability density function of the stochastic
processes. The FP equation also preserves the positivity and conservative of
the total probability. A Chang-Cooper discretization scheme is used to ensure
the positiveness and conservation of the total probability with second-order
accuracy. We investigate a two-level scheme with factor-three-coarsening
strategy and have a significant reduction in computations and CPU time.
Numerical experiments are performed to validate the efficiency and second-order
accuracy of the proposed two-level algorithm with backward time-difference
schemes.

Numerical Analysis;Numerical Analysis