一类Markov过程的最大绝对值过程概率密度求解的新方法1)
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A NEW METHOD FOR THE PROBABILITY DENSITY OF MAXIMUM ABSOLUTE VALUE OF A MARKOV PROCESS1)
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图3. 采用本文方法获得的Brown运动的最大绝对值过程$Z\left( t \right)$的概率密度与概率分布与Monte Carlo结果的对比 |
Fig. 3. The comparison between the proposed method and MCS for the PDF and CDF of $Z(t) $of Brownian motion process |
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