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Zhurnal Vychislitel'noi Matematiki i Matematicheskoi Fiziki, 2018, Volume 58, Number 9, Pages 1455–1461
DOI: https://doi.org/10.31857/S004446690002524-7 (Mi zvmmf10780) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Numerical solution to a system of differential equations for probability measures

A. I. Noarov

Marchuk Institute of Numerical Mathematics, Russian Academy of Sciences, Moscow, Russia
Citations (1)
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DOI: https://doi.org/10.31857/S004446690002524-7
Abstract: A system of ordinary differential equations describing a stationary distribution of a Markov process with the phase space $\mathbf{R}\times\{1, 2,\dots, M\}$ is considered. A numerical method for finding and calculating its solution being a probability density function is proposed.
Key words: Markov process, stationary distribution, numerical method.
Received: 13.02.2017
Revised: 05.01.2018
English version:
Computational Mathematics and Mathematical Physics, 2018, Volume 58, Issue 9, Pages 1404–1410
DOI: https://doi.org/10.1134/S0965542518090142
Bibliographic databases:
Document Type: Article
UDC: 519.624
Language: Russian
Citation: A. I. Noarov, “Numerical solution to a system of differential equations for probability measures”, Zh. Vychisl. Mat. Mat. Fiz., 58:9 (2018), 1455–1461; Comput. Math. Math. Phys., 58:9 (2018), 1404–1410
Citation in format AMSBIB
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    • This publication is cited in the following 1 articles:
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