Gaussian random fields related to Lévy's Brownian motion : representations and expansions Public Deposited

Gaussian random fields related to Levy's Brownian motion : representations and expansions

http://ir.library.oregonstate.edu/concern/graduate_thesis_or_dissertations/jh343w05q

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  • This dissertation examines properties and representations of several isotropic Gaussian random fields in the unit ball in d-dimensional Euclidean space. First we consider Lévy's Brownian motion. We use an integral representation for the covariance function to find a new expansion for Lévy's Brownian motion as an infinite linear combination of independent standard Gaussian random variables and orthogonal polynomials. Next we introduce a new family of isotropic Gaussian random fields, called the p-processes, of which Lévy's Brownian motion is a special case. Except for Lévy's Brownian motion the p-processes are not locally stationary. All p-processes also have a representation as an infinite linear combination of independent standard Gaussian random variables. We use these expansions of the random fields to simulate Lévy's Brownian motion and the p-processes along a ray from the origin using the Cholesky factorization of the covariance matrix.
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  • description.provenance : Submitted by Erica Rode (rodee@onid.orst.edu) on 2013-03-06T19:30:37Z No. of bitstreams: 1 RodeEricaS2013.pdf: 832668 bytes, checksum: 72ead2b06f2aa2558c3fa025440fc1c7 (MD5)
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