几何布朗运动与随机游走什么区别

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关键词：布朗运动 随机游走 求教 随机 布朗 运动 几何

我也想知道！

随机游走是不是也称马尔科夫过程？布朗运动是不是也称维纳过程？

维纳过程是马尔科夫随机过程的特殊形式

对这个问题我也不了解，但可以提供一点线索，赫尔《期权，期货和其他衍生产品》的第十章有关于这方面的介绍，希望对你们能有帮助

去看看随机过程的教材，比如人大统计系的那套，不懂会不会有帮助？

以下是引用happyzkh在2006-6-6 8:31:00的发言：
去看看随机过程的教材，比如人大统计系的那套，不懂会不会有帮助？

人大统计系那套，我看过《应用时间序列分析》，感觉挺不错的。《应用随机分析》也准备去弄来看看。

Radom walk process is also called Markov process that has three components: wiener process, generalized wiener process and ito process. Geometric Brownian Motion is a typical process of Ito process.

Hope helpful:)

The term Brownian motion (in honor of the botanist Robert Brown) refers to either

1. The physical phenomenon that minute particles, immersed in a fluid, move about randomly; or
2. The mathematical models used to describe those random movements.

The mathematical model can also be used to describe many phenomena not resembling (other than mathematically) the random movements of minute particles. An often quoted example is stock market fluctuations. Another example is the evolution of physical characteristics in the fossil record.

Brownian motion is among the simplest stochastic processes on a continuous domain, and it is a limit of both simpler (see random walk) and more complicated stochastic processes. This universality is closely related to the universality of the normal distribution. In both cases, it is often mathematical convenience rather than accuracy as models that motivates their use. All three quoted examples of Brownian motion are cases of this:

1. It has been argued that Lévy flights are a more accurate, if still imperfect, model of stock-market fluctuations.
2. The physical Brownian motion can be modelled more accurately by a more general diffusion process.
3. The dust hasn't settled yet on what the best model for the fossil record is, even after correcting for non-Gaussian data.

reference: http://en.wikipedia.org/wiki/Brownian_motion

random walk is just one of phenomenons mentioned in Brownian Motion, i guess. i sort of think that random walk was derived from Brownina Motion.

强

布朗运动在物理化学上是三维的随机，在金融上是是二维的随机

看看