Four finite dimensional (FD) surrogates for continuous random processes

DOI10.1007/S11009-023-10025-2MaRDI QIDQ6170552zbMATH OpenOpenAlexFDO

Authors Mircea Grigoriu

Publication date 13 July 2023

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-023-10025-2

zbMATH Keywords

stochastic processesweak convergenceextremesestimatesnumerical solutionsfinite dimensional (FD) processes

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Sample path properties (60G17) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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• A spectral-based Monte Carlo algorithm for generating samples of nonstationary Gaussian processes
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• Stochastic partial differential equations
• Stochastic systems. Uncertainty quantification and propagation
• Term-by-Term Differentiability of Mercer's Expansion

Cited in

(4)

• Monte Carlo estimates of extremes of stationary/nonstationary Gaussian processes
• Microstructure models for extreme material responses
• Finite dimensional models for random microstructures
• Finite-dimensional models for response analysis

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