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Communication Dans Un Congrès Année : 2003

Non-Gaussian simulation using Hermite polynomial expansion

Résumé

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.
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Dates et versions

hal-00686221 , version 1 (19-04-2012)

Identifiants

  • HAL Id : hal-00686221 , version 1

Citer

Bénédicte Puig, F. Poirion, Christian Soize. Non-Gaussian simulation using Hermite polynomial expansion. 4th International Conference on Computational Stochastic Mechanics, Sep 2002, Corfu, Greece. pp.487-496. ⟨hal-00686221⟩
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