基于随机谐和函数的复合泊松过程模拟

Simulation of Compound Poisson Process Based on Stochastic Harmonic Function

摘要:

提出了实现复合泊松过程数值模拟的新途径，并建议采用随机谐和函数方法生成复合泊松过程.依据工程实例，验证了随机谐和函数方法模拟复合泊松过程的有效性.

Abstract:

A new approach to the numerical simulation of compound Poisson process was proposed. The stochastic harmonic function method was adopted to generate the compound Poisson process. Based on the engineering example, the validity of the stochastic harmonic function method to simulate the compound Poisson process was verified.