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Monte Carlo Methods and Applications

Managing Editor: Sabelfeld, Karl K.

Editorial Board: Binder, Kurt / Bouleau, Nicolas / Chorin, Alexandre J. / Dimov, Ivan / Dubus, Alain / Egorov, Alexander D. / Ermakov, Sergei M. / Halton, John H. / Heinrich, Stefan / Kalos, Malvin H. / Lepingle, D. / Makarov, Roman / Mascagni, Michael / Mathe, Peter / Niederreiter, Harald / Platen, Eckhard / Sawford, Brian R. / Schmid, Wolfgang Ch. / Schoenmakers, John / Simonov, Nikolai A. / Sobol, Ilya M. / Spanier, Jerry / Talay, Denis

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CiteScore 2016: 0.70

SCImago Journal Rank (SJR) 2016: 0.647
Source Normalized Impact per Paper (SNIP) 2016: 0.908

Mathematical Citation Quotient (MCQ) 2016: 0.33

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1569-3961
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Volume 17, Issue 3

Issues

Fast simulation of Gaussian random fields

Annika Lang
  • Fakultät für Mathematik und Informatik, Universität Mannheim, 68131 Mannheim, Germany.
  • Seminar für Angewandte Mathematik, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland.
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/ Jürgen Potthoff
Published Online: 2011-06-07 | DOI: https://doi.org/10.1515/mcma.2011.009

Abstract

Fast Fourier transforms are used to develop algorithms for the fast generation of correlated Gaussian random fields on rectangular regions of . The complexities of the algorithms are derived, simulation results and error analysis are presented.

Keywords.: Gaussian random fields; fast Fourier transform; simulation

About the article

Received: 2009-04-02

Revised: 2011-05-16

Accepted: 2011-05-23

Published Online: 2011-06-07

Published in Print: 2011-09-01


Citation Information: Monte Carlo Methods and Applications, Volume 17, Issue 3, Pages 195–214, ISSN (Online) 1569-3961, ISSN (Print) 0929-9629, DOI: https://doi.org/10.1515/mcma.2011.009.

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