English

Wavelet-based simulation of random processes from certain classes with given accuracy and reliability

Probability 2019-05-01 v1

Abstract

We consider stochastic processes Y(t)Y(t) which can be represented as Y(t)=(X(t))s,sN,Y(t)=(X(t))^s, s \in \mathbb{N}, where X(t)X(t) is a stationary strictly sub-Gaussian process and build a wavelet-based model that simulates Y(t)Y(t) with given accuracy and reliability in Lp([0,T])L_p([0,T]). A model for simulation with given accuracy and reliability in Lp([0,T])L_p([0,T]) is also built for processes Z(t)Z(t) which can be represented as Z(t)=X1(t)X2(t)Z(t)=X_1(t) X_2(t), where X1(t)X_1(t) and X2(t)X_2(t) are independent stationary strictly sub-Gaussian processes.

Keywords

Cite

@article{arxiv.1904.13384,
  title  = {Wavelet-based simulation of random processes from certain classes with given accuracy and reliability},
  author = {Ievgen Turchyn},
  journal= {arXiv preprint arXiv:1904.13384},
  year   = {2019}
}
R2 v1 2026-06-23T08:53:38.906Z