论文标题
使用匹配的花纹生成稀疏随机过程
Generating Sparse Stochastic Processes Using Matched Splines
论文作者
论文摘要
我们提供了一种算法来生成稀疏随机过程的轨迹，这些过程是由LévyWhite噪声驱动的线性普通微分方程解决方案的解决方案。最近的一篇论文表明，这些过程是广义化合物 - 波森过程的限制。基于此结果，我们得出了一种网格算法，该算法会生成任意关闭目标过程的近似值。我们的方法依赖于广义化合物 - 散孔过程的B型序列表示。我们以数字说明方法的有效性。
We provide an algorithm to generate trajectories of sparse stochastic processes that are solutions of linear ordinary differential equations driven by Lévy white noises. A recent paper showed that these processes are limits in law of generalized compound-Poisson processes. Based on this result, we derive an off-the-grid algorithm that generates arbitrarily close approximations of the target process. Our method relies on a B-spline representation of generalized compound-Poisson processes. We illustrate numerically the validity of our approach.
