Device and method for outputting stochastic processes, and data recording medium

A method for outputting stochastic process comprising the steps of:

• outputting a plurality of random variable sequences whose limiting distribution obeys an explicit density function;
• normalizing the sum of the random variables in the same row over the random variable sequences output by said step of outputting the random variable sequences, and sequentially outputting normalized values;
• and
• integrating the values sequentially output by said step of outputting the normalized values, and sequentially outputting integrated values as result values in the stochastic process,
• and wherein each of the density functions of limiting distributions in the random variable sequences output by said step of outputting random variable output units is a function ρ (·) having the characteristics shown in equation 17;
• ρ(x)≅c−|x|−(1+α) for x→−∞
• ρ(x)≅c+|x|−(1+α) for x→+∞ EQUATION 17
• where
• 0<α≦2,
• 0≦c−, and
• 0≦c+.

A data processor readable data recording medium storing a program for outputting stochastic process, said program causes said data processor to execute the steps of:

• outputting a plurality of random variable sequences whose limiting distribution obeys an explicit density function;
• normalizing the sum of the random variables in the same row over the random variable sequences output by said step of outputting the random variable sequences, and sequentially outputting normalized values;
• and
• integrating the values sequentially output by said step of outputting the normalized values, and sequentially outputting integrated values as result values in the stochastic process,
• and wherein each of the density functions of limiting distributions in the random variable sequences output by said step of outputting random variable output units is a function ρ(·) having the characteristics shown in equation 21;
• ρ(x)≅c−|x|−(1+α) for x→−∞
• ρ(x)≅c+|x|−(1+α) for x→+∞ EQUATION 21
• where
• 0<α≦2,
• 0≦c−, and
• 0≦c+.