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Non-Gaussian simulation using Hermite polynomial expansion
Puig, Bénédicte ; Poirion, F. ; Soize, Christian
HAL, hal-00686221 / Harvested from HAL
Text on HAL
A general method to generate simulated paths of non-Gaussian homogeneous random fields, based on an Hermite polynomial expansion, is proposed. Mathematical justifications are given for this Monte Carlo simulation technique. Different types of convergences are established for the approaching sequence. Moreover an original numerical method is proposed in order to solve the functional equation yielding the underlying Gaussian process autocorrelation function.
Publié le : 2002-09-09
Classification:  uncertainty quantification,  non-Gaussian simulation,  Hermite polynomial expansion,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR],  [SPI.MECA]Engineering Sciences [physics]/Mechanics [physics.med-ph] 
@article{hal-00686221,
     author = {Puig, B\'en\'edicte and Poirion, F. and Soize, Christian},
     title = {Non-Gaussian simulation using Hermite polynomial expansion},
     journal = {HAL},
     volume = {2002},
     number = {0},
     year = {2002},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00686221}
}

Puig, Bénédicte; Poirion, F.; Soize, Christian. Non-Gaussian simulation using Hermite polynomial expansion. HAL, Tome 2002 (2002) no. 0, . http://gdmltest.u-ga.fr/item/hal-00686221/