https://doi.org/10.2307/2581583 • https://www.jstor.org/stable/2581583 Copy URL For the statistical description of a demand process, many probability density ...

We consider stochastic differential equations of the form dYt = V(Yt)dXt + V0(Yt)dt driven by a multi-dimensional Gaussian process. Under the assumption that the vector fields V0 and V = (V1,..., Vd) ...

A spectral representation-based simulation methodology is proposed to generate sample functions of a multi-variate, multi-dimensional, non-Gaussian stochastic vector field, according to a prescribed ...