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SIMULATION AND APPROXIMATION OF STOCHASTIC-PROCESSES BY SPLINE FUNCTIONS

由花键功能的随机的过程的模拟和近似

作     者:WEBA, M 

出 版 物:《SIAM JOURNAL ON SCIENTIFIC AND STATISTICAL COMPUTING》 (工业与应用数学会科学计算杂志)

年 卷 期:1992年第13卷第5期

页      面:1085-1096页

核心收录:

学科分类:07[理学] 070104[理学-应用数学] 0701[理学-数学] 

主  题:STOCHASTIC PROCESSES SPLINE FUNCTIONS 

摘      要:Error bounds for simultaneous approximation of stochastic processes by means of spline functions are derived. As opposed to conventional methods, conditions such as regularity of covariances, stationarity, continuity of sample paths, etc. can be dropped, and the error bounds are valid with respect to arbitrary norms. Several applications are indicated: simulating solutions of some stochastic differential equations, computing distributions of continuous functionals by simulation as well as interpolation, numerical differentiation, and numerical integration of stochastic processes by splines.

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