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Non-Gaussian simulation using Hermite polynomial expansion

Abstract : 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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https://hal-upec-upem.archives-ouvertes.fr/hal-00686221
Contributor : Christian Soize <>
Submitted on : Thursday, April 19, 2012 - 6:03:47 PM
Last modification on : Friday, June 26, 2020 - 2:00:04 PM
Long-term archiving on: : Friday, July 20, 2012 - 2:20:27 AM

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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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