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7. 一维非线性标量扩散过程的最大绝对值过程$Z\left( t \right)$的概率密度与概率分布数值结果与Monte Carlo结果的对比
Fig. 7. The comparison between the proposed method and MCS for the PDF and CDF of $Z(t) $of a one-dimensional non-linear scalar diffusion process
