期刊
CHEMICAL PHYSICS
卷 375, 期 2-3, 页码 378-379出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.chemphys.2010.06.027
关键词
Gaussian process; Numerical simulation
资金
- National Natural Science Foundation of China [20773017, 20533060]
- Ministry of Science and Technology of China [2007CB815206]
It is shown that the real Gaussian stationary process with zero mean can be exactly interpreted as a convolution defined by its covariance and a complex white noise plus the conjugate pair of the complex white noise. When the algorithm for generating the white noise is given, such a representation thereby offers a direct and convenient technique to numerically simulate Gaussian processes with arbitrary correlations. Moreover, the fast Fourier transform can be invoked for solving the convolution, which leads to a feasible implementation of the simulation method. As a primary test, a Gaussian process in quantum dissipation is simulated. This stochastic process has an infinitely long correlation time and is hardly treated by other approaches. (C) 2010 Elsevier B.V. All rights reserved.
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