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Numerical Solution to a System of Differential Equations for Probability Measures

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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… Click to show full 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: probability; system; numerical solution; solution system; differential equations

Journal Title: Computational Mathematics and Mathematical Physics
Year Published: 2018

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