| 摘要 |
A device for outputting stochastic process according to the present invention comprises a plurality of random variable output units, a normalizing unit, and a result output unit. Each of the random variable output units outputs a sequence of random variables whose limiting distribution obeys an explicit density function. The normalizing unit normalizes the sum of the random variables in the same row over the random variable sequences output by the random variable output units, and sequentially outputs the normalized values. The result output unit integrates the values sequentially output by the normalizing unit, and sequentially outputs the integrated values as result values in stochastic process. The random variable output units utilize a recurrence formula obtained by an addition formula of a tangent function, thus, efficient high speed simulation of the Lévy's stable processes is realized.
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