Geodesic
Numerical solution of the Kolmogorov–Feller equation with singular singularities
Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 50 (2010) no. 2, pp. 347-351 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

A method is proposed for solving the Kolmogorov–Feller integro-differential equation with kernels containing delta function singularities. The method is based on a decomposition of the solution into regular and singular parts. 
@article{ZVMMF_2010_50_2_a13,
     author = {N. A. Baranov and L. I. Turchak},
     title = {Numerical solution of the {Kolmogorov{\textendash}Feller} equation with singular singularities},
     journal = {\v{Z}urnal vy\v{c}islitelʹnoj matematiki i matemati\v{c}eskoj fiziki},
     pages = {347--351},
     year = {2010},
     volume = {50},
     number = {2},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZVMMF_2010_50_2_a13/}
}
TY  - JOUR
AU  - N. A. Baranov
AU  - L. I. Turchak
TI  - Numerical solution of the Kolmogorov–Feller equation with singular singularities
JO  - Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki
PY  - 2010
SP  - 347
EP  - 351
VL  - 50
IS  - 2
UR  - http://geodesic.mathdoc.fr/item/ZVMMF_2010_50_2_a13/
LA  - ru
ID  - ZVMMF_2010_50_2_a13
ER  - 
%0 Journal Article
%A N. A. Baranov
%A L. I. Turchak
%T Numerical solution of the Kolmogorov–Feller equation with singular singularities
%J Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki
%D 2010
%P 347-351
%V 50
%N 2
%U http://geodesic.mathdoc.fr/item/ZVMMF_2010_50_2_a13/
%G ru
%F ZVMMF_2010_50_2_a13
N. A. Baranov; L. I. Turchak. Numerical solution of the Kolmogorov–Feller equation with singular singularities. Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 50 (2010) no. 2, pp. 347-351. http://geodesic.mathdoc.fr/item/ZVMMF_2010_50_2_a13/

[1] Baranov N. A., Turchak L. I., Metody analiza funktsionalnoi bezopasnosti slozhnykh tekhnicheskikh sistem, VTs RAN, M., 2006 | MR

[2] Bulinskii A. V., Shiryaev A. N., Teoriya sluchainykh protsessov, Nauka, M., 2004

[3] Gardiner K. V., Stokhasticheskie metody v estestvennykh naukakh, Mir, M., 1986 | MR | Zbl

[4] Baranov N. A., Krasnikov O. E., “Chislennyi metod resheniya uravneniya dinamiki sostoyanii sistemy s nepreryvnym mnozhestvom sostoyanii”, Vestn. Tambovskogo un-ta. Ser. estestv. i tekhn. nauki, 11:3 (2006), 291–294 | MR

[5] Baranov N. A., Turchak L. I., “Chislennoe reshenie uravneniya Kolmogorova–Fellera”, Zh. vychisl. matem. i matem. fiz., 47:7 (2007), 1221–1228 | MR

[6] Shilov G. E., Matematicheskii analiz. Vtoroi spetsialnyi kurs, MGU, M., 1984 | MR