Title :
The generation of diffusion Markovian processes with probability density function defined on part of the real axis
Author :
Kontorovich, Valerii ; Lyandres, Vladimir ; Primak, Sergey
Author_Institution :
Centro de Investigacion y de Estudios Avanzados, IPN, Mexico City, Mexico
Abstract :
The correlated random process is represented as a solution of a stochastic differential first-order equation (SDE). The case of processes with a probability density function defined on a semi-infinite or finite range is considered. The limitation of the range of the simulated process requires modification of the specific structure of the SDE. The approach presented provides excellent results in modeling significant non-Gaussian processes with approximately an exponential correlation function. It is validated by direct numerical simulation of a uniformly distributed correlated process.
Keywords :
Markov processes; correlation methods; differential equations; probability; random processes; signal representation; correlated random process; diffusion Markovian processes; exponential correlation function; finite range; nonGaussian processes; numerical simulation; probability density function; real axis; semi-infinite range; simulated process; stochastic differential first-order equation; uniformly distributed correlated process; Density functional theory; Differential equations; Gaussian noise; Gaussian processes; Numerical simulation; Probability density function; Random processes; Stochastic processes;
Journal_Title :
Signal Processing Letters, IEEE
