| 求解Ito随机微分方程解过程密度函数的两种方法 |
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| 引用本文： | 梁学忠,王宪杰,王雁霞.求解Ito随机微分方程解过程密度函数的两种方法[J].哈尔滨理工大学学报,2003,8(2). |
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| 作者姓名： | 梁学忠 王宪杰 王雁霞 |
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| 作者单位： | 1. 大连民族学院,数学教研室,辽宁,大连,116600
2. 烟台大学,数学与信息科学系,山东,烟台,264005 |
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| 摘 要： | 为了确定Ito随机微分方程所描述系统的概率特性,给出了利用Fokker-Plank方程和Ito微分法变换求解解过程密度函数方法.
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| 关 键 词： | 随机微分方程 解过程 密度函数 |
Two Methods of Solving Ito Stochastic Differential Equation Solution Process Probability Density Function |
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| LIANG Xue-zhong WANG Xian-jie,WANG Yan-xia.Two Methods of Solving Ito Stochastic Differential Equation Solution Process Probability Density Function[J].Journal of Harbin University of Science and Technology,2003,8(2). |
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| Authors: | LIANG Xue-zhong WANG Xian-jie WANG Yan-xia |
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| Abstract: | To determine the probability characteristics of system described by Ito stochastic differential equation, this paper gives two approaches to solution process probability density frunction. The first method uses Fokker -Plank equation. Another method applies Ito differential. |
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| Keywords: | stochastic differential equation solution preocess density function |
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