Modeling non-Gaussian diffusion processes
Valery M. Anikin, Saratov State University, Russia
Abstract
A method for constructive modeling Markov diffusion random processes with a non-Gaussian cross-sectional distribution based on the Wiener process is proposed. A stationary Feller-Planck-Kolmogorov equation is constructed, which has an exact solution in the form of a given distribution density. The coefficients of drift and diffusion are determined, which are used in turn to write a stochastic differential equation that controls a random process characterized by a non-Gaussian distribution in any of its sections. This stochastic differential equation is proposed as the basis for an algorithm for the numerical simulation of a diffusion process with a non-Gaussian distribution.
Speaker
Valery M. Anikin
Saratov State University
Russia
Discussion
Ask question
