Abstract
A method of modelling of non-Gaussian random processes is suggested. The approach is based on representing a process under investigation as a response of a non-linear systems, excited by a white Gaussian noise or a fractional Brownian motion. Systems with random structure are used to model processes with are stationary only locally. Fractional stochastic differential equations are used to model processes with long term dependence.
Original language | English |
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Pages (from-to) | 417-428 |
Number of pages | 12 |
Journal | Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms |
Volume | 10 |
Issue number | 1-3 |
State | Published - 1 Feb 2003 |
Keywords
- Kolmogorov-Feller Equation
- Markov Process
- Non-linear transformation
ASJC Scopus subject areas
- Discrete Mathematics and Combinatorics
- Applied Mathematics