Brownian motion simulation: a quantization approach

被引：0

作者：

Fort, Jean-Claude ^{[1
]}

Salomon, Luis A. ^{[2
]}

机构：

[1] MAP5 Univ Paris Descartes, SPC, F-75006 Paris, France

[2] Univ La Havane, Fac Math, La Havane 10400, Thailand

来源：

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | 2015年 / 85卷 / 09期

关键词：

simulation of Wiener process; functional quantization; 65C20; 62E17; 65D30; 60G15; SMALL BALL PROBABILITIES; FUNCTIONAL QUANTIZATION; GAUSSIAN-PROCESSES; ASYMPTOTIC-BEHAVIOR; INTEGRAL EQUATIONS; SHARP ASYMPTOTICS; BANACH-SPACES; EIGENVALUES; DISTORTION;

D O I：

10.1080/00949655.2014.903490

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

In this article we suggest a new simulation method for the Wiener process. The main idea is to use functional quantization theory and the decomposition of the Wiener process by Brownian bridges to construct a suitable approximation of the Brownian motion.

引用

页码：1807 / 1817

页数：11

共 11 条

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