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A generalized process 
, where E is a nuclear space, is a random variable family such that the map 
is linear and continuous. The Gaussian white noise process is a well-known example. It is characterized by a Gaussian measure on the dual space E′ of E. Ordinary Gaussian processes can be constructed from the white noise process using the duality relation: 
where 
is a family of functions in E. The goal of this paper is to show that all the classical simulation methods of Gaussian processes found in the literature are derived from this construction, by fixing the appropriate nuclear space E and family .
Published Online: --
Published in Print: 2004-03-01
Copyright 2004, Walter de Gruyter
