Model accuracy and reliability of stochastic processes with discrete spectrum with respect to linear filter

MaRDI QIDQ3465161zbMATH OpenFDO

Authors Iryna Rozora

Publication date 20 January 2016

zbMATH Keywords

discrete spectrumGaussian stationary processlinear filtersimulationsquare-Gaussian process

Mathematics Subject Classification ID

Gaussian processes (60G15) Inference from stochastic processes and prediction (62M20) Probabilistic models, generic numerical methods in probability and statistics (65C20) Filtering in stochastic control theory (93E11)

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(8)

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• Simulation of stochastic processes with given accuracy and reliability
• Accuracy of modeling stationary Gaussian stochastic processes in L^ 2(0,T)
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• Analysis of accuracy for simulation of the fractional Brownian motion in uniform metrics
• The development of software for simulation of random processes with a given accuracy and reliability
• Modeling and Simulation of Stochastic Processes
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