Numerical Solution to a System of Differential Equations for Probability Measures

A. I. Noarov

doi:10.1134/S0965542518090142

Numerical Solution to a System of Differential Equations for Probability Measures

Authors: Noarov A.I.¹
Affiliations:
1. Marchuk Institute of Numerical Mathematics, Russian Academy of Sciences
Issue: Vol 58, No 9 (2018)
Pages: 1404-1410
Section: Article
URL: https://journals.rcsi.science/0965-5425/article/view/179824
DOI: https://doi.org/10.1134/S0965542518090142
ID: 179824

Cite item

Full Text

Open Access
Restricted Access

Access granted
Restricted Access

Subscription Access

Abstract
About the authors
References
Supplementary files
Statistics

Abstract

A system of ordinary differential equations describing a stationary distribution of a Markov process with the phase space R × {1; 2; … M} is considered. A numerical method for finding and calculating its solution being a probability density function is proposed.

Keywords

Markov process, stationary distribution, numerical method.

About the authors

A. I. Noarov

Marchuk Institute of Numerical Mathematics, Russian Academy of Sciences

Author for correspondence.
Email: ligrans@mail.ru
Russian Federation, Moscow, 119333

Supplementary files

Supplementary Files

Action

1. JATS XML

Download

Username
Password
Remember me

Forgot password?	Register

Username
Password
Remember me

Forgot password?	Register