Solving some stochastic differential equation using Dirichlet distributions

Hadad, Hawre; Homei, Hazhir; Behzadi, Mohammad Hassan; Farnoosh, Rahman

doi:10.22034/cmde.2019.32914.1533

Solving some stochastic differential equation using Dirichlet distributions

Document Type : Research Paper

Authors

¹ Department of Statistics, Sciences and Research branch, Islamic Azad University, Tehran, Iran.

² Department of Statistic University of Tabriz P.O.Box 51666-16471 Tabriz, Iran.

³ School of Mathematics ,Iran University of Science and Technology, Tehran, Iran.

10.22034/cmde.2019.32914.1533

Abstract

Stochastic linear combinations of some random vectors are studied where the distribution of the random vectors and the joint distribution of their coefficients have Dirichlet distributions. A method is provided for calculating the distribution of these combinations which has been studied before. Our main result is the same as but from a different point of view.

Keywords