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A method based on high order partial differential equation (PDE) numericalscheme are proposed to obtain the transition cumulative distribution function(CDF) of the diffusion process (Numerical differentiation of the transition CDFfollows the transition probability density function (PDF)),where a transformationis applied to the Kolmogorov PDEs firstly,then a new type of PDEs withstep function initial conditions and 0,1 boundary conditions can be obtained.