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

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.

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.