一类Markov过程的最大绝对值过程概率密度求解的新方法1)
陈建兵(
),律梦泽
),律梦泽
A NEW METHOD FOR THE PROBABILITY DENSITY OF MAXIMUM ABSOLUTE VALUE OF A MARKOV PROCESS1)
Chen Jianbing(),Lü Mengze
),Lü Mengze
图2. Brown运动过程$W(t) $的概率密度数值结果与解析解的对比
Fig. 2. The comparison between the numerical and analytical solution of PDF of Brownian motion process $W(t) $
