What Color is Your Noise?

Wednesday, December 10, 2014 - 10:00 to 11:00
Thackeray 427
Speaker Information
Hans-Werner van Wyk
Florida State University

Abstract or Additional Information

Power-law noises abound in nature and have been observed extensively in both time series and spatially varying environmental parameters. Although, recent years have seen the extension of traditional stochastic partial differential equations to include systems driven by time-varying fractional Brownian motion, spatially distributed scale-invariance has received comparatively little attention, especially for parameters defined over non-standard spatial domains. This talk discusses the extension of power-law noises to general spatial domains by outlining their theoretical underpinnings as well as addressing their numerical simulation on arbitrary meshes. Three computational algorithms are presented for efficiently generating their sample paths, accompanied by numerous numerical illustrations.

Research Area