Stochastic differential equations (3rd ed.): an introduction with applications
Stochastic differential equations (3rd ed.): an introduction with applications
Numerical analysis: an introduction
Numerical analysis: an introduction
| Hi-index | 7.29 |
We produce a positive approximation of a probability density in [0,1] when only a finite number of values (possibly affected by noise) is available. This approximation is obtained by computing a number of Legendre-Fourier coefficients and applying the Maximum Entropy method. An example of application of this procedure is data-smoothing in the numerical solution of an identification problem for Fokker-Planck equation.