Markov models of non-Gaussian exponentially correlated processes and their applications

Phys Rev E Stat Nonlin Soft Matter Phys. 2001 Jun;63(6 Pt 1):061103. doi: 10.1103/PhysRevE.63.061103. Epub 2001 May 21.

Abstract

We consider three different methods of generating non-Gaussian Markov processes with given probability density functions and exponential correlation functions. All models are based on stochastic differential equations. A number of analytically treatable examples are considered. The results obtained can be used in different areas such as telecommunications and neurobiology.