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！

<P>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？</P>
<P>维纳过程是马尔科夫随机过程的特殊形式</P>
<P>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</P>

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？

<DIV class=quote><B>以下是引用<I>happyzkh</I>在2006-6-6 8:31:00的发言：</B><BR>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？</DIV>
<P>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。

<P>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.</P>
<P>Hope helpful:)  </P>

<P>The term <I><B>Brownian motion</B></I> (in honor of the botanist <a href="http://en.wikipedia.org/wiki/Robert_Brown_%28botanist%29" target="_blank" >Robert Brown</A>) refers to either</P>
<OL>
<LI>The physical phenomenon that minute particles, immersed in a fluid, move about randomly; or
<LI>The mathematical models used to describe those random movements. </LI></OL>
<P>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 <a href="http://en.wikipedia.org/wiki/Stock_market" target="_blank" >stock market</A> fluctuations. Another example is the evolution of physical characteristics in the fossil record.</P>
<P>Brownian motion is among the simplest <a href="http://en.wikipedia.org/wiki/Stochastic_process" target="_blank" >stochastic processes</A> on a continuous domain, and it is a <a href="http://en.wikipedia.org/wiki/Limit_%28mathematics%29" target="_blank" >limit</A> of both simpler (see <a href="http://en.wikipedia.org/wiki/Random_walk" target="_blank" >random walk</A>) and more complicated stochastic processes. This <a href="http://en.wikipedia.org/wiki/Universality_%28dynamical_systems%29" target="_blank" >universality</A> is closely related to the universality of the <a href="http://en.wikipedia.org/wiki/Normal_distribution" target="_blank" >normal distribution</A>. 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:</P>
<OL>
<LI>It has been argued that <a href="http://en.wikipedia.org/wiki/L%C3%A9vy_flight" target="_blank" >Lévy flights</A> are a more accurate, if still imperfect, model of stock-market fluctuations.
<LI>The physical Brownian motion can be modelled more accurately by a more general <a href="http://en.wikipedia.org/wiki/Diffusion" target="_blank" >diffusion process</A>.
<LI>The dust hasn't settled yet on what the best model for the fossil record is, even after correcting for non-<a href="http://en.wikipedia.org/wiki/Normal_distribution" target="_blank" >Gaussian</A> data. </LI></OL>
<P>reference:  <a href="http://en.wikipedia.org/wiki/Brownian_motion" target="_blank" >http://en.wikipedia.org/wiki/Brownian_motion</A></P>
<P>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.</P>

强

<P>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</P>

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