Application of the theory of square-Gaussian processes to simulation of stochastic processes
In the paper the simulation of stochastic processes is considered. For this purpose the estimation for distribution of supremum of square-Gaussian processes is found. The theorems are proved that give the conditions under which the constructed model approximates stochastic process in Banach space w...
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| Дата: | 2006 |
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| Автори: | , |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2006
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| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4456 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | Application of the theory of square-Gaussian processes to simulation of stochastic processes / Y. Kozachenko, I. Rozora // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 3-4. — С. 43–54. — Бібліогр.: 9 назв.— англ. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| Резюме: | In the paper the simulation of stochastic processes is considered. For this purpose the estimation for distribution of supremum of square-Gaussian processes is found. The theorems are proved that give the conditions
under which the constructed model approximates stochastic process in Banach space with given accuracy and reliability. The obtained results can be widely used in actuarial science and financial mathematics. |
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