Simulating Stochastic Process with a Monophyletic Random Vector
Abstract. The large number of basic random variables in stochastic process, cause great troubles for calculation and analysis. Based on twice orthogonal expansion in the stochastic process and the expression of uncorrelated random vectors by use of orthogonal functions originate from a single source random variable, a method of triple orthogonal expansion for a stochastic process is put forward ,which can simulate a stochastic process with only one random variable. Example calculation shows the effectiveness of the monophyletic analysis method (MAM).This method can be applied for the other stochastic analysis based on the correlation theory.
Hui Li, Yan Feng Liu, Ming Guo, Rui Zhang and Jing Du
B. X. Tang et al., "Simulating Stochastic Process with a Monophyletic Random Vector", Advanced Materials Research, Vols. 374-377, pp. 1698-1703, 2012