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Stochastic differential equations: an approach to the generation of continuous non-Gaussian processes

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2 Author(s)
Kontorovich, V.Y. ; Dept. of Telecomm., Nat. Polytech. Inst., New Mexico, Mexico ; Lyandres, V.Z.

The generation of continuous random processes with jointly specified probability density and covariation functions is considered. The proposed approach is based on the interpretation of the simulated process as a stationary output of a nonlinear dynamic system, excited by white Gaussian noise and described by a system of a first-order stochastic differential equations (SDE). The authors explore how the statistical characteristics of the equation's solution depends on the form of its operator and on the intensity of the input noise. Some aspects of the approximate synthesis of stochastic differential equations and examples of their application to the generation of non-Gaussian continuous processes are considered. The approach should be useful in signal processing when it is necessary to translate the available a priori information on the real random process into the language of its Markov model as well as in simulation of continuous correlated processes with the known probability density function

Published in:

Signal Processing, IEEE Transactions on  (Volume:43 ,  Issue: 10 )

Date of Publication:

Oct 1995

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