论文标题
与伽玛相关的Ornstein-Uhlenbeck过程及其模拟
Gamma Related Ornstein-Uhlenbeck Processes and their Simulation
论文作者
论文摘要
我们研究了两个固定分布分别是伽马定律和双边伽马定律的两个广义的Ornstein-Uhlenbeck（OU）的分布性能。事实证明，所述分布与自我分解的伽玛和双侧伽马定律有关，其密度和特征功能在这里以封闭形式给出。因此，确切生成此类过程的算法是相应得出的，其优势的优势比文献中可用的算法要快，因此适用于实时模拟。
We investigate the distributional properties of two generalized Ornstein-Uhlenbeck (OU) processes whose stationary distributions are the gamma law and the bilateral gamma law, respectively. The said distributions turn out to be related to the self-decomposable gamma and bilateral gamma laws, and their densities and characteristic functions are here given in closed-form. Algorithms for the exact generation of such processes are accordingly derived with the advantage of being significantly faster than those available in the literature and therefore suitable for real-time simulations.
