Simulation of Gaussian stationary Ornstein-Uhlenbeck process with given reliability and accuracy in space \(C([0,T])\)

DOI10.1515/mcma-2017-0115zbMath1386.60133OpenAlexW2768854881MaRDI QIDQ1691501

Marina Petranova, Yuriy Vasil'ovich Kozachenko

Publication date: 16 January 2018

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2017-0115

zbMATH Keywords

simulationreliabilityGaussian processaccuracymodel of process

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10)

Related Items (1)

On one way of modeling a stochastic process with given accuracy and reliability

Cites Work

• Comparative analysis of multiscale Gaussian random field simulation algorithms
• Cross-correlogram estimators of impulse response functions
• On an expansion of random processes in series
• Stochastic Spectral and Fourier-Wavelet Methods for Vector Gaussian Random Fields
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