Abstract
AbstractMotivated by the subordinated Brownian motion, we define a new class of (in general discontinuous) random fields on higher-dimensional parameter domains: the subordinated Gaussian random field. We investigate the pointwise marginal distribution of the constructed random fields, derive a Lévy-Khinchin-type formula and semi-explicit formulas for the covariance function. Further, we study the pointwise stochastic regularity and present various numerical examples.
Funder
Deutsche Forschungsgemeinschaft
Universität Stuttgart
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
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