检测由Schauder基础驱动的布朗运动表示中的微妙偏差
1MEMOTEF, Sapienza University of Rome, Roma 00161, Italy.
Chaos (Woodbury, N.Y.)
|September 4, 2025
概括
我们使用Schauder表示生成了替代布朗运动. 虽然非高斯版本模仿了一些属性,但只有高斯结构真正复制了布朗运动的随机性和光谱性行为.
科学领域:
- 随机过程
- 数学金融
- 时间序列分析
背景情况:
- 在模拟随机现象时, 布朗运动是基本的.
- 区分真正的布朗运动和替代运动对于准确的分析至关重要.
- 施德表示提供了一个构建随机过程的方法.
研究的目的:
- 构建和分析代用随机过程.
- 调查与布朗运动相比,非高斯式的基于Schauder的结构的忠实性.
- 在生成的样本路径中识别真正的布朗运动的微妙偏差.
主要方法:
- 使用Schauder表示来构建随机过程.
- 采用非高斯分布 (β,均) 来计算施德系数.
- 应用基于的测量和光谱差异分析以进行更深入的评估.
主要成果:
- 非高斯替代物保留了像二次变化和共变性结构这样的特性.
- 只有基于高斯的构造才能保持一致的光谱行为和随机性.
- 在非高斯变体中观察到微妙但显著的偏离布朗运动.
结论:
- 沙德表示可以生成现实的布朗运动替代物.
- 基于高斯的构造在复制真正的布朗运动特征方面优越.
- 需要先进的分析技术来检测随机过程中的微妙差异.
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