Isotropic Gaussian random fields on the sphere: regularity, fast simulation and stochastic partial differential equations

DOI10.1214/14-AAP1067zbMATH Open1328.60126arXiv1305.1170MaRDI QIDQ894800FDOQ894800

Authors: Annika Lang, Christoph Schwab 

Publication date: 24 November 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: Isotropic Gaussian random fields on the sphere are characterized by Karhunen-Lo`{e}ve expansions with respect to the spherical harmonic functions and the angular power spectrum. The smoothness of the covariance is connected to the decay of the angular power spectrum and the relation to sample H"{o}lder continuity and sample differentiability of the random fields is discussed. Rates of convergence of their finitely truncated Karhunen-Lo`{e}ve expansions in terms of the covariance spectrum are established, and algorithmic aspects of fast sample generation via fast Fourier transforms on the sphere are indicated. The relevance of the results on sample regularity for isotropic Gaussian random fields and the corresponding lognormal random fields on the sphere for several models from environmental sciences is indicated. Finally, the stochastic heat equation on the sphere driven by additive, isotropic Wiener noise is considered, and strong convergence rates for spectral discretizations based on the spherical harmonic functions are proven.

Full work available at URL: https://arxiv.org/abs/1305.1170

Recommendations

• scientific article; zbMATH DE number 1366710
• Fast generation of isotropic Gaussian random fields on the sphere
• Spectral simulation of isotropic Gaussian random fields on a sphere
• Stochastic representations of isotropic vector random fields on spheres
• Regularity properties and simulations of Gaussian random fields on the sphere cross time
• Stationary and isotropic vector random fields on spheres
• Multilevel representations of isotropic Gaussian random fields on the sphere
• Regularity, continuity and approximation of isotropic Gaussian random fields on compact two-point homogeneous spaces
• Modeling Gaussian isotropic random fields on a sphere

zbMATH Keywords

stochastic partial differential equationsfast Fourier transform[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Karhunen-Lo%EF%BF%BD%EF%BF%BDve+expansion&go=Go Karhunen-Lo��ve expansion]Kolmogorov-Chentsov theoremsample differentiability[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=sample+H%EF%BF%BD%EF%BF%BDlder+continuity&go=Go sample H��lder continuity]strong convergence ratesspectral Galerkin methodsisotropic Gaussian random fieldsspherical harmonic functions

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Spherical harmonics (33C55) Sample path properties (60G17) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Rate of convergence, degree of approximation (41A25) Numerical methods for discrete and fast Fourier transforms (65T50)

Cites Work

• Fast simulation of Gaussian random fields
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic Equations in Infinite Dimensions
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• Title not available (Why is that?)
• Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Spherical harmonics and approximations on the unit sphere. An introduction
• FFTs for the 2-sphere-improvements and variations
• Introduction to stochastic integration.
• A concise course on stochastic partial differential equations
• Random fields on the sphere. Representation, limit theorems and cosmological applications
• Title not available (Why is that?)
• Kolmogorov-Chentsov theorem and differentiability of random fields on manifolds
• Title not available (Why is that?)
• Mean-square continuity on homogeneous spaces of compact groups
• Manifolds and differential geometry
• Title not available (Why is that?)
• Title not available (Why is that?)
• Sample properties of random fields. II: Continuity
• Title not available (Why is that?)
• Covariance structure of parabolic stochastic partial differential equations
• A fast transform for spherical harmonics
• Which spheres admit a topological group structure?
• On Strong Summability of Jacobi-Fourier-Expansions and Smoothness Properties of Functions

Cited In (89)

• Spectral analysis of fractional hyperbolic diffusion equations with random data
• On spectral theory of random fields in the ball
• Spherical process models for global spatial statistics
• Galerkin-Chebyshev approximation of Gaussian random fields on compact Riemannian manifolds
• A turning bands method for simulating isotropic Gaussian random fields on the sphere
• Time varying isotropic vector random fields on spheres
• Excursion probability of Gaussian random fields on sphere
• Isotropic non-Lipschitz regularization for sparse representations of random fields on the sphere
• Random spherical hyperbolic diffusion
• Kolmogorov-Chentsov theorem and differentiability of random fields on manifolds
• The turning arcs: a computationally efficient algorithm to simulate isotropic vector-valued Gaussian random fields on the \(d\)-sphere
• Relations between Schoenberg coefficients on real and complex spheres of different dimensions
• Generalised Wendland functions for the sphere
• Numerical analysis of lognormal diffusions on the sphere
• Derivatives of isotropic positive definite functions on spheres
• Discrete maximal regularity of an implicit Euler-Maruyama scheme with non-uniform time discretisation for a class of stochastic partial differential equations
• Gaussian random fields on the sphere and sphere cross line
• Mesh generation for periodic 3D microstructure models and computation of effective properties
• A quantitative central limit theorem for the excursion area of random spherical harmonics over subdomains of S2
• Series Expansions of Fractional Brownian Motions and Strong Local Nondeterminism of Bifractional Brownian Motions on Balls and Spheres
• Isotropic covariance matrix polynomials on spheres
• Models of space-time random fields on the sphere
• Lasso estimation for spherical autoregressive processes
• Regularity of Gaussian processes on Dirichlet spaces
• Fast simulation for Gaussian random fields on compact Riemannian manifolds
• Fast and exact simulation of Gaussian random fields defined on the sphere cross time
• Strong local nondeterminism and exact modulus of continuity for spherical Gaussian fields
• Multivariate isotropic random fields on spheres: nonparametric Bayesian modeling and \(L^p\) fast approximations
• Equivalence and orthogonality of Gaussian measures on spheres
• Sample paths of the solution to the fractional-colored stochastic heat equation
• Isotropic sparse regularization for spherical harmonic representations of random fields on the sphere
• Numerical approximation and simulation of the stochastic wave equation on the sphere
• Asymptotics for spherical functional autoregressions
• Surface Finite Element Approximation of Spherical Whittle--Matérn Gaussian Random Fields
• Covariance models and simulation algorithm for stationary vector random fields on spheres crossed with Euclidean spaces
• Regularity properties of the solution to a stochastic heat equation driven by a fractional Gaussian noise on \(\mathbb{S}^2\)
• Estimation of the covariance function of Gaussian isotropic random fields on spheres, related Rosenblatt-type distributions and the cosmic variance problem
• Regularity properties and simulations of Gaussian random fields on the sphere cross time
• Spectral expansions of random sections of homogeneous vector bundles
• Transport and diffusion in the Schweitzer-Ebeling-Tilch model driven by cross-correlated noises
• Strict positive definiteness of convolutional and axially symmetric kernels on \(d\)-dimensional spheres
• Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions
• Aliasing effects for random fields over spheres of arbitrary dimension
• A non-uniform discretization of stochastic heat equations with multiplicative noise on the unit sphere
• On the peaks of a stochastic heat equation on a sphere with a large radius
• Regularity and approximation of Gaussian random fields evolving temporally over compact two-point homogeneous spaces
• Regularity, continuity and approximation of isotropic Gaussian random fields on compact two-point homogeneous spaces
• Stochastic neural field theory of wandering bumps on a sphere
• Modeling Temporally Evolving and Spatially Globally Dependent Data
• Spectral simulation of isotropic Gaussian random fields on a sphere
• A Casimir preserving scheme for long-time simulation of spherical ideal hydrodynamics
• Isotropic covariance functions on spheres: some properties and modeling considerations
• Deep Learning in High Dimension: Neural Network Expression Rates for Analytic Functions in \(\pmb{L^2(\mathbb{R}^d,\gamma_d)}\)
• Fast generation of isotropic Gaussian random fields on the sphere
• QMC integration for lognormal-parametric, elliptic PDEs: local supports and product weights
• Needlet approximation for isotropic random fields on the sphere
• Parametric estimation for functional autoregressive processes on the sphere
• Fractional stochastic partial differential equation for random tangent fields on the sphere
• Multilevel approximation of Gaussian random fields: fast simulation
• Gaussian random fields: with and without covariances
• Asymptotics for isotropic Hilbert-valued spherical random fields
• On approximation for time-fractional stochastic diffusion equations on the unit sphere
• Finite elements for Matérn-type random fields: uncertainty in computational mechanics and design optimization
• Isotropic random tangential vector fields on spheres
• Hilbert–Schmidt regularity of symmetric integral operators on bounded domains with applications to SPDE approximations
• Numerical approximation of Gaussian random fields on closed surfaces
• A note on the derivatives of isotropic positive definite functions on the Hilbert sphere
• On the properties of multivariate isotropic random fields on the ball
• Flexible-bandwidth needlets
• Strictly positive definite non-isotropic kernels on two-point homogeneous manifolds: the asymptotic approach
• Existence and smoothness of local time and self-intersection local time for spherical Gaussian random fields
• Approximation of the Spectral Fractional Powers of the Laplace-Beltrami Operator
• Quadratic variations for Gaussian isotropic random fields on the sphere
• Interfaces, free boundaries and geometric partial differential equations. Abstracts from the workshop held February 11--16, 2024
• Hausdorff measures of image set and graph set of spherical Gaussian random fields
• Spatiotemporal reconstructions of global CO\(_2\)-fluxes using Gaussian Markov random fields
• Gaussian random fields on the product of spheres: theory and applications
• Nonparametric Bayesian modeling and estimation of spatial correlation functions for global data
• On multifractionality of spherical random fields with cosmological applications
• Increasing domain asymptotics for the first Minkowski functional of spherical random fields
• Title not available (Why is that?)
• Strong local nondeterminism and exact modulus of continuity for isotropic Gaussian random fields on compact two-point homogeneous spaces
• Space-time methods for time-dependent partial differential equations. Abstracts from the workshop held February 6--12, 2022
• Constrained dynamics, stochastic numerical methods and the modeling of complex systems. Abstracts from the workshop held May 26--31, 2024
• Evolving surface finite element methods for random advection-diffusion equations
• Euler-Maruyama approximations of the stochastic heat equation on the sphere
• Stochastic diffusion within expanding space-time
• 30 years of space-time covariance functions
• Title not available (Why is that?)

This page was built for publication: Isotropic Gaussian random fields on the sphere: regularity, fast simulation and stochastic partial differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q894800)