3 resultados para Brownian Dynamics Simulation

em Repositório Científico do Instituto Politécnico de Lisboa - Portugal


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Dissertação para obtenção do grau de Mestre em Engenharia Electrotécnica Ramo de Energia

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The iterative simulation of the Brownian bridge is well known. In this article, we present a vectorial simulation alternative based on Gaussian processes for machine learning regression that is suitable for interpreted programming languages implementations. We extend the vectorial simulation of path-dependent trajectories to other Gaussian processes, namely, sequences of Brownian bridges, geometric Brownian motion, fractional Brownian motion, and Ornstein-Ulenbeck mean reversion process.

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Master Thesis in Mechanical Engineering field of Maintenance and Production