基于提升小波变换的布朗运动的生成算法  

Generated Algorithm for Brown Motion Based on Lifting Wavelet Transform

作　　者：曹航宾 周小辉 

机构地区：[1]新疆师范大学数学科学学院,新疆 乌鲁木齐 [2]上海财经大学浙江学院,浙江 金华

出　　处：《理论数学》2024年第3期201-210,共10页Pure Mathematics

摘　　要：文中基于提升小波系数,首先提出了一种生成标准正态随机数的新方法与多维Brown运动生成算法,且给出了1维,2维与3维情形的模拟。然后将小波系数应用于金融模型中,利用小波系数讨论了典范双因子Vasicek模型。最后给出了显式表达式和数值模拟。Based on the wavelet coefficients, a new method for generating standard normal random numbers and a new generation algorithm for multi-dimensional Brown motion are proposed in this paper. And some numerical simulations are given in one-dimensional, two-dimensional and three-dimensional cases. Then the wavelet coefficients are applied in the financial model. The canonical two-factor Vasicek model is discussed by wavelet coefficients. The explicit expressions and numerical simulation are given finally.

关 键 词：分形整合过程 提升小波变换 BROWN运动 

分 类 号：TP3[自动化与计算机技术—计算机科学与技术]