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

IEEE Signal Processing Letters

Volumn 3, Issue 1, 1996, Pages 19-21

  Kontorovich, Valerii ^a   Lyandres, Vladimir ^b   Primak, Sergey ^b  

^a DEPARTAMENTO DE FÍSICA   (Mexico)

^b BEN GURION UNIVERSITY OF THE NEGEV   (Israel)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SIMULATION; CORRELATION THEORY; FUNCTIONS; LAPLACE TRANSFORMS; MARKOV PROCESSES; MATHEMATICAL MODELS; PROBABILITY DENSITY FUNCTION; RANDOM PROCESSES; WHITE NOISE;

DIFFUSION MARKOVIAN PROCESSES; NON GAUSSIAN PROCESS; STOCHASTIC DIFFERENTIAL FIRST ORDER EQUATION;

SIGNAL THEORY;

EID: 0029774937     PISSN: 10709908     EISSN: None     Source Type: Journal    
DOI: 10.1109/97.475826     Document Type: Article

References (5)

1. B. Liu and D. C. Munson, "Generation of a random sequence having a jointly specified marginal distribution and autocovariance," IEEE Trans. Acoust., Speech, Signal Processing, vol. ASSP-30, no. 6, pp. 973-983, Dec. 1982.
2. T. T. Soong, Random Differential Equations in Science and Engineering. New York: Academic, 1973.
3. R. L. Stratonovich, Topics in the Theory of Random Noise, vol. 1. New York: Gordon and Breach, 1967.
4. H. J. Kushner, Probability Methods for Approximations in Stochastic Control and for Elliptic Equations. New York: Academic, 1977.
5. P. E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations. New York: Springer-Verlag, 1992.