Distribution of absolute maximum of Gaussian Markov’s stationery process
DOI:
https://doi.org/10.3103/S0735272713010068Abstract
The absolute maximum of Gaussian Markov’s stationary process is obtained by means of solution of the Fokker–Planck–Kolmogorov equation with method of variables division. It is shown, known results are special cases of obtained solution. The probability of process location in one of half-plane of its values is specified.
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