最大熵方法求解分数布朗运动驱动的Fokker-Planck方程

doi:10.16183/j.cnki.jsjtu.2017.12.006

上海交通大学学报（自然版） ›› 2017, Vol. 51 ›› Issue (12): 1443-1447.doi: 10.16183/j.cnki.jsjtu.2017.12.006

最大熵方法求解分数布朗运动驱动的Fokker-Planck方程

彭凌a，谢富纪b

上海交通大学 a. 数学科学学院，上海 200240； b. 安泰经济与管理学院，上海 200030

出版日期:2017-11-30 发布日期:2017-11-30
基金资助:
国家自然科学基金项目(11171216; 71373158)

Maximum Entropy Method for Solving Fokker-Planck Equations Driven by Fractional Brownian Motion

PENG Linga，XIE Fujib

a. School of Mathematical Sciences, Shanghai 200240; b. Antai College of Economics & Management, Shanghai 200030, Shanghai Jiao Tong University, China

Online:2017-11-30 Published:2017-11-30

摘要/Abstract

摘要： 采用最大熵方法求解由分数布朗运动驱动的 Fokker-Planck方程，得到了该方程的近似解.此外，还以分数布朗运动驱动的O-U过程为例，用最大熵方法对其进行数值分析，验证了所得的理论结果.

关键词: 最大熵方法, 分数布朗运动, Fokker-Planck方程

Abstract: In this paper, we consider the maximum entropy method for solving Fokker-Planck equations driven by fractional Brownian motion (FBM). The approximate solution of probability density function has been derived, and the numerical experiments on Ornstein-Uhlenbeck (O-U) process driven by FBM are presented to confirm our theoretical results.

Key words: maximum entropy method, fractional Brownian motion (FBM), Fokker-Planck equations

中图分类号:

O 241.82

彭凌a，谢富纪b. 最大熵方法求解分数布朗运动驱动的Fokker-Planck方程[J]. 上海交通大学学报（自然版）, 2017, 51(12): 1443-1447.

PENG Linga，XIE Fujib. Maximum Entropy Method for Solving Fokker-Planck Equations Driven by Fractional Brownian Motion[J]. Journal of Shanghai Jiaotong University, 2017, 51(12): 1443-1447.

参考文献

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最大熵方法求解分数布朗运动驱动的Fokker-Planck方程

Maximum Entropy Method for Solving Fokker-Planck Equations Driven by Fractional Brownian Motion

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