Gaussian stationary quasi Ornstein–Uhlenbeck process and its simulation.
Анотація
In the paper we apply representations of random processes in the form of random series with uncorrelated members, obtained in the work, for the construction of models of stochastic processes, which approximates the processes with given reliability and accuracy in spaces. Thus, the objective of the paper is to briefly discuss Gaussian stationary quasi OrnsteinUhlenbeck process and its simulation.Посилання
Metric Characterization of Random Variables and Random Processes / V.V. Buldygin, Yu.V. Kozachenko. - RI: AMS; American Mathematical Society. — 2000. — 257 p.
Kozachenko Yu.V. On Expansion of Random Process in Series / Yu.V. Kozachenko, I.V. Rozora, Ye. Turchyn. // Random Operators and Stohastic Equations, 2007. – Vol. 15(1). – P. 15-35.
Petranova M. Simulation of Gaussian Stationary Quasi Ornstein–Uhlenbeck Process with Given Reliability and Accuracy in Spaces C([0,T]) and Lp([0,T]) / M. Petranova // Journal of Applied Mathematics and Statistics. – Columbia International Publishing, 2016. – Vol. 3, Iss. 1. – P. 44-58.
