Abstract
In this work, a new numerical method to calculate the characteristics of the solution to stochastic differential equations is presented. This method is based on the Fokker–Planck equation for the transition probability function and the representation of the transition probability function by means of eigenfunctions of the Fokker–Planck operator. The results of the numerical experiments are presented.
Funding source: Belarusian Republican Foundation for Fundamental Research
Award Identifier / Grant number: ü F15-035
Funding statement: This work is supported by Belarusian Republican Foundation for Fundamental Research (grant F15-035).
References
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