求解It(?)随机微分方程解过程密度函数的两种方法  

Two Methods of Solving Ito Stochastic Differential Equation Solution Process Probability Density Function

作　　者：梁学忠[1] 王宪杰[2] 王雁霞[1] 

机构地区：[1]大连民族学院数学教研室,辽宁大连116600 [2]烟台大学数学与信息科学系,山东烟台264005

出　　处：《哈尔滨理工大学学报》2003年第2期113-115,共3页Journal of Harbin University of Science and Technology

摘　　要：为了确定Ito随机微分方程所描述系统的概率特性,给出了利用Fokker-Plank方程和Ito微分法变换求解解过程密度函数方法.To determine the probability characteristics of system described by Ito stochastic differential equation, this paper gives two approaches to solution process probability density frunction. The first method uses Fokker -Plank equation. Another method applies Ito differential.

关 键 词：随机微分方程 解过程 密度函数 求解方法 Fokker-Plank方程 微分变换 

分 类 号：O211.63[理学—概率论与数理统计]