GENERATION OF COLORED NOISE

@article{Bartosch2001GENERATIONOC,
  title={GENERATION OF COLORED NOISE},
  author={Lorenz Bartosch},
  journal={International Journal of Modern Physics C},
  year={2001},
  volume={12},
  pages={851-855}
}
  • L. Bartosch
  • Published 1 July 2001
  • Mathematics, Computer Science
  • International Journal of Modern Physics C
In this work, we describe a simple Markovian algorithm to generate a typical sample path of colored noise described by an Ornstein–Uhlenbeck process. The algorithm works equally well to simulate a real or complex disorder potential with exponentially decaying covariance and higher correlation functions given by Wick's theorem. As an input, we only need independent Gaussian random numbers which can easily be generated by the well-known Box–Muller algorithm. Finally, we discuss an alternative… 

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