A Multiplicative Wavelet-based Model for Simulation of a Random Process

2014/08/19 by Turchyn, Ievgen
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1408.4253

Abstract

We consider a random process Y(t)=exp\X(t)\, where X(t) is a centered second-order process which correlation function R(t,s) can be represented as ∫_ℝ u(t,y)u(s,y) dy. 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.

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