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arXiv 1408.4253math.PR
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基于乘性小波的随机过程仿真模型

A Multiplicative Wavelet-based Model for Simulation of a Random Process

Ievgen Turchyn

摘要:

考虑随机过程$Y(t)=\exp\{X(t)\}$,其中$X(t)$是一个中心二阶过程,其相关函数$R(t,s)$可以表示为$Y(t)$。我们提出了一个模型的模拟过程$Y(t)$,并找到其收敛速度的过程中的空间$C([0,T])$和$L_p([0,T])$的情况下,当$X(t)$是一个严格的次高斯过程。

英文摘要:

We consider a random process $Y(t)=\exp\{X(t)\}$, where $X(t)$ is a centered second-order process which correlation function $R(t,s)$ can be represented as $\int_{\mathbb{R}} u(t,y)\overline{u(s,y)} dy.$ A multiplicative wavelet-based representation is found for $Y(t)$. We propose a model for simulation of the process $Y(t)$ and find its rates of convergence to the process in the spaces $C([0,T])$ and $L_p([0,T])$ for the case when $X(t)$ is a strictly sub-Gaussian process.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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