GENERATION OF A STOCHASTIC PROCESS WITH DESIRED FIRST‐ AND SECOND‐ORDER STATISTICS

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 1981 English Publisher:EmeraldJournal:Kybernetes, volume 10, pages 25-30 (issn: 0368-492X,

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Authors: Adomian, G.; Elrod, M.;

doi: 10.1108/eb005572

GENERATION OF A STOCHASTIC PROCESS WITH DESIRED FIRST‐ AND SECOND‐ORDER STATISTICS

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Abstract

A method is evoked which produces a non‐stationary (and possibly non‐Gaussian) stochastic process with given statistics to second order. The method is useful either for simulation solution of stochastic differential equations or stochastic modeling of system performance.

Keywords

generation of a stochastic process, simulation solution of stochastic differential equations, Random number generation in numerical analysis, Stochastic analysis, stochastic modeling

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