有色噪声的扩散过程模型

研究使用基于随机微分方程的扩散过程模型产生有色噪声.首先给出Markov扩散过程的平稳分布,该分布给出了扩散过程模型中的漂移系数、扩散系数和有色噪声概率密度分布之间的关系;选择扩散过程模型中的扩散系数为x的一次幂,其系数决定了所生成噪声的相关特性;数值算法使用Milstein高阶法.以三元独立积构造的G-分布雷达杂波为例进行仿真分析,验证所提出方法的准确性和有效性.

Colored Noise with the Model of Diffusion Processes

Colored noise is produced by diffusion processes constructed from a stochastic differential equation.First,the stationary distribution of Markov diffusion processes is obtained.It describes the relationship among the drift coefficient,the diffusion coefficient,and the probability density distribution of the colored noise.Let the drift coefficient be the first order power of x,whose constant coefficient controls the correlation of the colored noise.The Milstein high order method is used in the numerical algorithm.Taking the G-distributed clutter constructed from a product of three independent random variables as example,we can see that simulation results are similar to the theoretical value,which validates the effectiveness of this method.