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Rare event simulation for processes generated via stochastic fixed point equations
Monte Carlo methods importance sampling perpetuities large deviations nonlinear renewal theory Harris recurrent Markov chains
2011/9/13
Abstract: In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable V satisfying the distributional...
Developments in perfect simulation for Gibbs measures
Perfect Simulation Stochastic Order Gibbs Measures
2011/8/30
Abstract: This paper deals with the problem of perfect sampling from a Gibbs measure with infinite range interactions. We present some sufficient conditions for the extinction of processes which are l...
Abstract: We present a new representation for the Levy chordal area for a two-dimensional Wiener process conditioned on its endpoints. This is based on an infinite weighted sum of Logistic random vari...
Riding a Spiral Wave: Numerical Simulation of Spiral Waves in a Co-Moving Frame of Reference
Spiral Wave Numerical Simulation Frame of Reference
2010/4/1
We describe an approach to numerical simulation of spiral waves dynamics of large spatial extent, using small computational grids.
Computer Simulation Study of the Levy Flight Process
Computer Simulation Levy Flight Process Random walk
2010/4/1
Random walk simulation of the Levy flight shows a linear relation between the mean square displacement and time. We have analyzed different aspects of this linearity. It is shown that the restric...