Simulation of stochastic processes with given accuracy and reliability (Q2833267)

In this book, methods of simulation of stochastic processes and fields with given accuracy and reliability are considered. Namely, suitable models are studied to approximate stochastic processes and fields in different functional spaces. This means that at first the authors construct the model and then use some adequacy tests to verify it. Only centered random processes and fields are considered, since simulation of determinate function can be made without any difficulties.NEWLINENEWLINEChapter 1 deals with the space of sub-Gaussian random variables and subclasses of this space containing strictly sub-Gaussian random variables. Different characteristics of these random variables are considered: sub-Gaussian standard, functional moments, etc. Special attention is devoted to inequalities estimating ``tails'' of the distribution of a random variable, or a sum of a random variable in the some functional spaces. In Chapter 2, general approaches for model construction of stochastic processes with given accuracy and reliability are studied. Special attention is paid to Karhunen-Loève and Fourier expansions of stochastic processes and their application to the simulation of stochastic processes. Chapter 3 is devoted to the model construction of Gaussian processes. The concept of the space of square-Gaussian random variables is introduced and the estimates of distribution of a square-Gaussian process supremum are found. Chapter 4 offers two approaches to construct the models of Gaussian stationary stochastic processes. In Chapter 5, the theorems on approximation of a model to the Gaussian random process in the integral spaces with given accuracy and reliability are proved. In Chapter 6, the modeling of the random Cox processes is studied. Chapter 7 deals with a model of a Gaussian stationary process with absolutely continuous spectrum, and Chapter 8 is devoted to simulation of Gaussian isotropic random fields on spheres.NEWLINENEWLINEThe book will be useful both for mathematicians and practitioners who deal with stochastic models. It contains rigorous formulas together with simulation results. The mathematical level of the book is high, however it is accessible for everybody who is interested in approximations of stochastic processes.