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arXiv · 2012.06353

Subordinated Gaussian Random Fields

Andrea Barth·Robin Merkle
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Abstract

Motivated 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 L\'evy-Khinchin-type formula and semi-explicit formulas for the covariance function. Further, we study the pointwise stochastic regularity and validate our theoretical findings in various numerical examples.

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Andrea Barth, Robin Merkle. 2020-12-11. Subordinated Gaussian Random Fields. https://doi.org/10.1007/s11009-022-09958-x

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