A spectral-based Monte Carlo algorithm for generating samples of nonstationary Gaussian processes

DOI10.1515/MCMA.2010.006MaRDI QIDQ3580726zbMATH OpenFDO

Authors Mircea D. Grigoriu

Publication date 13 August 2010

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationspectral representationnonstationary Gaussian processesgeneralized spectral density

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cites work

• Numerical Simulation of Stationary and Non-Stationary Gaussian Random Processes

Cited in

(6)

• A class of non-Gaussian processes for Monte Carlo simulation
• A comparison of methods for selecting values of simulation input variables
• Harmonizable nonstationary processes
• Four finite dimensional (FD) surrogates for continuous random processes
• Generation of strongly non-Gaussian stochastic processes by iterative scheme upgrading phase and amplitude contents
• An algorithm for on-the-fly generation of samples of non-stationary Gaussian processes based on a sampling theorem

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