GENERATION OF A STOCHASTIC PROCESS WITH DESIRED FIRST‐ AND SECOND‐ORDER STATISTICS

Authors:
  • GAG. Adomian
    G. Adomian
  • MEM. Elrod
    M. Elrod
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Abstract
A method is evoked which produces a non‐stationary (and possibly non‐Gaussian) stochastic process with given statistics to second order. The method is useful either for simulation solution of stochastic differential equations or stochastic modeling of system performance.