多维正态分布函数的表示  

Expressions of Multi-dimensional Normal Distribution Function

作　　者：周圣武[1] 张艳[1] 韩苗[1] 索新丽[1] 

机构地区：[1]中国矿业大学理学院,江苏徐州221116

出　　处：《大学数学》2011年第4期142-145,共4页College Mathematics

基　　金：中央高校基本科研业务费专项资金(JGK101677);国家自然科学基金(61005089)

摘　　要：在许多金融问题的研究中,如金融衍生产品定价、金融风险度量与管理等领域,经常用到多维正态分布函数.在概率论与数理统计文献中只给出了一维标准正态分布表,而多维正态分布函数的计算问题没有给出具体的算法.本文给出了多维正态分布函数与一维标准正态分布函数的关系式,从而解决了多维正态分布函数的计算问题.In many researches of the financial problems,such as derivative securities pricing theory,financial risk measure and management and so on,multi-dimensional normal distribution functions are often used.But in the references of Probability and Statistics,the only one-dimensional standard normal distribution table was given and there＇s no specific algorithm about multi-dimensional normal distribution functions.In this paper,the relational expression between multi-dimensional normal distribution function and one-dimensional standard normal distribution function was given.Thus the computational problems about multi-dimensional normal distribution function can be solved.

关 键 词：正态分布 分布函数 协方差矩阵 正定矩阵 

分 类 号：O211.1[理学—概率论与数理统计]