Институт вычислительной математики
и математической геофизики

The International Conference on Computational Mathematics


Statistic modeling and Monte Carlo methods

Usage of piece constant function approximations for numerical modelling of stochastic elements

Voytishek A.V., Kablukova E.G.

Institute of computational mathematics and mathematical geophysics (Novosibirsk)

Additional requirements for function approximations in the case of their usage as model probabilistic densities are formulated. The equality between the inverse distribution function method and modified superposition method for stochastic value with piece constant density is fixed. The possibilities for usage of piece constant densities for substantiation of methods for modeling of discrete stochastic values is discussed. The reason for usage of piece constant approximations of functions for construction of double-sided rejection technique is shown.

Note. Abstracts are published in author's edition

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