Numerical determination of frequency distribution function for 2D Fokker-Planck equation

In this paper a numerical determination of frequency distribution function for Fokker-Planck equation is considered. To do this, the new iterative method was constructed and applied to the parabolic equation with boundary conditions of first kind (at least one particle reaching the frontier of domain). The strength and powerful of proposed method are that the new factors as time dependence and fluctuation matrix took into account. These factors change the structure of numerical algorithm significantly. Algorithm is written in a matrix form. The theorem proving the convergence and stability of iterative process is added.