Oleksandr Moklyachuk, “Simulation of random processes with known correlation function with the help of Karhunen-Loeve decomposition”, Theory Stoch. Process., 2007, Volume 13(29), Issue 4,Pages <nobr>163

Simulation of random processes with known correlation function with the help of Karhunen-Loeve decomposition

Oleksandr Moklyachuk

Department of Probability Theory and Mathematical Statistics, Kyiv National Taras Shevchenko University, Kyiv, Ukraine

Abstract: A theorem is proved that allows to use approximations for construction of the Karhunen-Loeve model of stochastic process with known correlation function.

Keywords: Stochastic process, Karhunen-Loeve model, homogeneous Fredholm equations of the second order, approximations.

MSC: 60G15, 65C20, 45B05

Language: English