Distribution of absolute maximum of Gaussian Markov’s stationery process
D. V. Yevgrafov · Radioelectronics and Communications Systems · 2013
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.