Relative efficiency of Gaussian stochastic process sampling procedures

Journal of Computational Physics

Volumn 192, Issue 2, 2003, Pages 546-569

  Cameron, Chris ^a  

^a LAWRENCE BERKELEY NATIONAL LABORATORY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTATIONAL COMPLEXITY; FOURIER TRANSFORMS; GAUSSIAN DISTRIBUTION; STOCHASTIC SYSTEMS;

ENERGY SPECTRUM; FOURIER WAVELETS; GAUSSIAN STOCHASTIC PROCESS; POWER-LAW; PROCESS SAMPLING; RANDOM WAVES; RELATIVE EFFICIENCY; SAMPLING PROCEDURES; WAVE NUMBERS; WAVELET METHODS;

RANDOM PROCESSES;

EID: 0345017134     PISSN: 00219991     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jcp.2003.07.012     Document Type: Article

References (15)

1. L. Arnold, Stochastic Differential Equations, Wiley, New York, 1974.
2. C. Blatter, Wavelets: A Primer, A.K. Peters, Natick, MA, 1998.
3. C. Chui, An Introduction to Wavelets, Academic Press, San Diego, 1992.
4. I. Daubechies, Ten Lectures on Wavelets, SIAM, Philadelphia, 1992.
5. J.L. Doob, Stochastic Processes, Wiley and Sons, New York, 1953.
6. F. Elliott Jr., D. Horntrop, A. Majda, A Fourier-Wavelet Monte Carlo method for fractal random fields, J. Comput. Phys. 132 (1997) 384-408.
7. F. Elliott, A. Majda, A wavelet Monte Carlo method for turbulent diffusion with many spatial scales, J. Comput. Phys. 113 (1994) 82.
8. I.M. Gel'fand, G.E. Shilov, Generalized Functions: vol. 1, Properties and Operations, Academic Press, New York, 1964.
9. I.I. Gikhman, A.V. Skorokhod, The Theory of Stochastic Processes, Springer, 1979.
10. A.E. Koniges, C.E. Leith, Parallel processing of random number generation for Monte Carlo turbulence simulation, J. Comput. Phys. 81 (1989) 230-235.
11. M.J. Lighthill, Introduction to Fourier Analysis and Generalised Functions, Cambridge University Press, New York, 1958.
12. A. Majda, P. Kramer, Simplified models for turbulent diffusion: theory, numerical modelling, and physical phenomena, Phys. Rep. 314 (1999) 237-574.
13. A. McCoy, A numerical study of turbulent diffusion (PhD thesis), Department of Mathematics, University of California at Berkeley, 1975.
14. K. Sabelfeld, Monte Carlo Methods, Springer-Verlag, New York, 1991.
15. A.M. Yaglom, An Introduction to the Theory of Stationary Random Functions, Prentice-Hall, Englewood Cliffs, NJ, 1962.