Constrained stochastic simulation -- generation of time series around some specific event in a normal process (Q881410)

This paper deals with constrained stochastic simulation. Time series around some specific event in a normal process can be generated by means of constrained stochastic simulation. This method can be applied for any event which can be expressed as a linear expression of the involved random variables. It is demonstrated for the local maxima and velocity jumps. Two examples are given in the paper: the generation of stochastic time series around local maxima and the generation of stochastic time series around a combination of a local minimum and maximum with a specified time separation.