Construction of probability distributions in high dimension using the maximum entropy principle: Applications to stochastic processes, random fields and random matrices

DOI10.1002/nme.2385zbMath1195.74311MaRDI QIDQ3590473

Publication date: 17 September 2010

Published in: International Journal for Numerical Methods in Engineering (Search for Journal in Brave)

Full work available at URL: https://hal-upec-upem.archives-ouvertes.fr/hal-00684517/file/publi-2008-IJNME-76_10_1583-1611-soize-preprint.pdf

zbMATH Keywords

stochastic process; maximum entropy principle; random matrix; random fields; high dimension; Karhunen-Loeve expansion

Mathematics Subject Classification ID

76M35: Stochastic analysis applied to problems in fluid mechanics

15B52: Random matrices (algebraic aspects)

74S60: Stochastic and other probabilistic methods applied to problems in solid mechanics

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Cites Work