The generation of diffusion Markovian processes with probability density function defined on part of the real axis

Valerii Kontorovich, Vladimir Lyandres, Sergey Primak

Research output: Contribution to journalArticlepeer-review

10 Scopus citations

Abstract

The correlated random process is represented as a solution of a stochastic differential first-order equation (SDE). The case of processes with probability a 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.

Original languageEnglish
Pages (from-to)19-21
Number of pages3
JournalIEEE Signal Processing Letters
Volume3
Issue number1
DOIs
StatePublished - 1 Jan 1996

ASJC Scopus subject areas

  • Signal Processing
  • Electrical and Electronic Engineering
  • Applied Mathematics

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