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dt dt

+,27 ,6+12' 0 82,9 '&' 2 :+'2 (92'&' 2+ ;0,73;3 205


# # 1 " !8(150) 2010
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. ) ) ) , $ # # %.
χ (t , S , µ ) :

∂χ (t , S , µ ) ∂χ (t , S , µ ) ∂χ (t , S , µ )
+ ⋅ µ+ ⋅ f ( S ) = J(t , S , µ ) , (3)
∂t ∂S ∂µ

dS dµ
= µ; = f (S ) , (4)
dt dt

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206 +,27 ,6+12' 0 82,9 '&' 2 :+'2 (92'&' 2+ ;0,73;3


# # 1 " !8(150) 2010
" %. % " ) -
# #. # . χ (t , S , µ ) # %

∞ ∞

∫ ∫ dS ⋅ d µ ⋅ χ (t , S , µ ) = N . (5)
0 0

" . " f (t , S ) " " ) $


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∞ ∞

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k
⋅ ψ (t , S , µ ) ⋅ d µ = [ψ ]k , k = 1, 2.... (6)
0 0

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+,27 ,6+12' 0 82,9 '&' 2 :+'2 (92'&' 2+ ;0,73;3 207


# # 1 " !8(150) 2010
# G # $H # # " " # -
dS ⋅ d µ ⋅ J :


J = λ (S )⋅ ∫ {ψ ( µ ) ⋅ µ ⋅ χ (t , S , µ) − ψ (µ ) ⋅ µ ⋅ χ (t, S , µ)} d µ . (7)
0

, # (7) (3) # :

∂χ (t , S , µ ) ∂χ (t , S , µ ) ∂χ (t , S , µ )
+ ⋅ µ+ ⋅ f =
∂t ∂S ∂µ
∞ 
 
λ ⋅  ψ ( µ ) ⋅ µ ⋅ χ (t , S , µ )d µ − µ ⋅ χ (t , S , µ ) 
∫ (8)
 0 

$ 4 " . " ψ (t , S , µ ) -
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) $ ",

∂χ (t , S , µ ) ∂χ (t , S , µ ) ∂χ (t , S , µ )
∂t
+
∂S
⋅ µ+
∂µ
{
⋅ f = λ ( S ) ⋅ ψ ( µ ) ⋅ [ χ ]1 − µ ⋅ χ . } (9)

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χ (t , S , µ ) :

∫µ
k
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0

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F # # . ". 7 [1,2,7], "
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# # 1 " !8(150) 2010
k = 0,1, 2.... ) # µ, # # F
" $ " " # # - %
#F:


∂ [ χ ]0 ∂ [ χ ]1
∂t
+
∂S ∫
= dµ ⋅ J , (11)
0


∂ [ χ ]k ∂ [ χ ]k +1
+ = k ⋅ f (t , S ) ⋅ [ χ ]k −1 + d µ ⋅ µ k ⋅ J , k = 1, 2,3.... .
∫ (12)
∂t ∂S
0

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&S
$ # # # << 1 # :
Sd

∂ [ χ ]0 ∂ [ χ ]1 [ χ ]k ∂ [ χ ]k ∂ [ χ ]k +1
+ =0, = [ψ ]k −1 , + = k ⋅ f (t , S ) ⋅ [ χ ]k −1 , (13)
∂t ∂S [ χ ]1 ∂t ∂S

, # $ F % (13) " " " # %. 1 " -


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∂ [ χ ]0 ∂ [ χ ]1 [ χ ]2 ∂ [ χ ]1 ∂ [ χ ]2
+ =0, = [ψ ]1 , + = f (t , S ) ⋅ [ χ ]1 . (14)
∂t ∂S [ χ ]1 ∂t ∂S

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# # 1 " !8(150) 2010
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210 +,27 ,6+12' 0 82,9 '&' 2 :+'2 (92'&' 2+ ;0,73;3


# # 1 " !8(150) 2010