Simulation of a strictly sub-Gaussian random field

Abstract: We consider a random process

Y (t) = e x p X (t)

, where

X (t)

is a centered second-order process which correlation function

R (t, s)

can be represented as

i n t_{m a t h b b R} u (t, y) o v e r l i n e u (s, y) d y .

A multiplicative wavelet-based representation is found for

Y (t)

. We propose a model for simulation of the process

Y (t)

and find its rates of convergence to the process in the spaces

C ([0, T])

and

L_{p} ([0, T])

for the case when

X (t)

is a strictly sub-Gaussian process.

Cites work

Cited in

(8)

This page was built for publication: Simulation of a strictly sub-Gaussian random field