Abstract
The paper proposes a constructive method for solving the stationary Kolmogorov-Feller equation with a nonlinear drift coefficient. The corresponding algorithms are constructed and their convergence is justified. The basis of the proposed method is the application of the Fourier transform.
Highlights
This paper proposes an approach to constructing solutions of differential equations of fractional order of the Kolmogorov-Feller type
A = − lim h (k)q (k) + h (k), → g (k)q (k) + g (k) where h (k), g (k) are determined from Eqs
Summary
This paper proposes an approach to constructing solutions of differential equations of fractional order of the Kolmogorov-Feller type. We consider equations with nonlinear coefficients, namely the case of a quadratic dependence of the drift coefficient on the independent variable. As far as we know, this method of construction is not presented in the literature. The advantage of the method is its effectiveness in numerical implementation
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