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[概率/统计] 用蒙特卡洛法求积分

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opuikl_0 posted 2017-6-30 21:53 |Read mode
Last edited by hbghlyj 2025-5-19 05:20请教各位怎么用蒙特卡洛法求如下积分呢?其中 $W^2, Z$ 是两个独立的标准布朗运动(伊藤积分),$\sigma_t:=\sqrt v_t$.
第二个积分等式是类似用回归来做吗? \begin{gathered}
X_t=\log x+\int_0^t\left(b-\frac{v_s}{2}\right) \mathrm{d} s+\rho \int_0^t \sqrt{v_s} \mathrm{~d} W_s^2+\sqrt{1-\rho^2} \int_0^t \sqrt{v_s} \mathrm{~d} Z_s \\
\sigma_t=\sigma_0+\int_0^t\left(\left(\frac{\kappa \theta}{2}-\frac{\nu^2}{8}\right) \frac{1}{\sigma_s}-\frac{\kappa \sigma_s}{2}\right) \mathrm{d} s+\int_0^t \frac{\nu}{2} \mathrm{~d} W_s^2
\end{gathered}

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