Theory of stable stochastic processes and generation of random numbers of stable type
| Project/Area Number |
16540130
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Okayama University of Science |
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Principal Investigator |
TAKENAKA Shigeo Okayama University of Science, Professor, 理学部, 教授 (80022680)
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| Co-Investigator(Kenkyū-buntansha) |
TAKASHIMA Keizo Okayama University of Science, Professor, 理学部, 教授 (00137184)
KOJO Katsuya Niihama Junior College, Associate Professor, 理数科, 助教授 (10280471)
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| Project Period (FY) |
2004 – 2006
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| Project Status |
Completed (Fiscal Year 2006)
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| Budget Amount *help |
¥2,700,000 (Direct Cost: ¥2,700,000)
Fiscal Year 2006: ¥800,000 (Direct Cost: ¥800,000)
Fiscal Year 2005: ¥900,000 (Direct Cost: ¥900,000)
Fiscal Year 2004: ¥1,000,000 (Direct Cost: ¥1,000,000)
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| Keywords | stochastic processes of stable type / maultiple markov properties / random numbers / stable random numbers |
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| Research Abstract |
1) Kojo has investigated the relations between some 2-dimensional stable distributions and their marginal distributions. Different from Gaussian case, he found that there exist 2-dimensional stable distributions which are completely different as 2-dimensional distributions but they share the same marginal distributions in any directions.
2) Takenaka proposed a new method of generating stable random numbers. At the first, we have to notice that the usual method of random generation by computer programs can not approximate the heavy tail of the stable distributions. Using the "Recursive Call" technique, we can obtain algorithms which approximate the tail much better than usual methods. More over, the overhead time for the recursive call is only 10%.
The results are presented several conferences of colloquims ;
2005 March, Manheim University
2006 March, Berlin Weierstrass institute, Jena University
2006 June Vilnius Conference
2006 Nov. Mejo University, Tokyo Rika University
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Report
(4 results)
Research Products
(25 results)
