On the numerical expansion of a second order stochastic process

DOI10.1002/asm.3150080202zbMath0800.65039OpenAlexW2147526750MaRDI QIDQ4299538

Mariano J. Valderrama, J. C. Ruiz, R. Gutiérrez

Publication date: 4 July 1994

Published in: Applied Stochastic Models and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asm.3150080202

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99)

Related Items (11)

Parallel Domain Decomposition Strategies for Stochastic Elliptic Equations. Part A: Local Karhunen--Loève Representations ⋮ Kalman filtering on approximate state-space models ⋮ Interval field model and interval finite element analysis ⋮ On the derivation of a suboptimal filter for signal estimation ⋮ Differentiation of the modified approximative Karhunen-Loève expansion of a stochastic process ⋮ Numerical methods for the discretization of random fields by means of the Karhunen-Loève expansion ⋮ Convergence study of the truncated Karhunen–Loeve expansion for simulation of stochastic processes ⋮ Bayesian estimation of Karhunen-Loève expansions; a random subspace approach ⋮ Spatial random field simulation by a numerical series representation ⋮ Faster computation of the Karhunen-Loève expansion using its domain independence property ⋮ Bayesian Inference on Local Distributions of Functions and Multidimensional Curves with Spherical HMC Sampling

Cites Work

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• On the Karhunen-Loeve expansion for transformed processes

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