本文選題：馬氏調(diào)節(jié) + 反射跳擴(kuò)散��； 參考：《應(yīng)用概率統(tǒng)計(jì)》2017年01期

【摘要】：本文拓展文獻(xiàn)[1]的馬氏調(diào)節(jié)反射布朗運(yùn)動模型到馬氏調(diào)節(jié)反射跳-擴(kuò)散過程,其中跳元素被表述為一個馬氏調(diào)節(jié)復(fù)合泊松過程.我們主要計(jì)算有關(guān)該馬氏調(diào)節(jié)反射跳-擴(kuò)散過程的平穩(wěn)分布.我們用一個具有兩狀態(tài)例子通過合適的邊界條件來說明如何求解平穩(wěn)分布所滿足的積分-微分方程組.最后,作為一個特殊情況,我們給出無馬氏調(diào)節(jié)反射-擴(kuò)散過程的平穩(wěn)分布.
[Abstract]:In this paper, we extend the Brownian motion model of the Markov regulated reflection from [1] to the Mahalanobis reflex jump-diffusion process, in which the jump element is expressed as a Markov regulated compound Poisson process. We mainly calculate the stationary distribution of the Mahalanobis regulated reflection jump-diffusion process. We use an example with two states to illustrate how to solve the system of integro-differential equations satisfied by stationary distribution through appropriate boundary conditions. Finally, as a special case, we give the stationary distribution of the non-Markov reflex diffusion process.
【作者單位】： 西安交通大學(xué)城市學(xué)院;
【基金】：supported by Scientific Research Plan Project of Education Department of Shaanxi Provincial Government(Grant No.14JK2050)
【分類號】：O211.62
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本文編號：1855513