White noise and simulation of ordinary Gaussian processes

DOI10.1515/156939604323091216zbMath1060.60038OpenAlexW4252850020MaRDI QIDQ4831810

Bénédicte Puig, Fabrice Poirion

Publication date: 3 January 2005

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

Full work available at URL: https://doi.org/10.1515/156939604323091216

zbMATH Keywords

spectral representationHermite polynomialKarhunen-Loève expansionnuclear space

Mathematics Subject Classification ID

Gaussian processes (60G15) Monte Carlo methods (65C05)

Related Items

Comparative analysis of multiscale Gaussian random field simulation algorithms

Cites Work

• Discretization and simulation of stochastic differential equations
• A review of white noise analysis from a probabilistic standpoint
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