Solving some stochastic differential equation using Dirichlet distributions

Document Type : Research Paper


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.


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.