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Fast Fourier transforms are used to develop algorithms for the fast generation of correlated Gaussian random fields on d-dimensional rectangular regions.
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K. Fourmont, Fast Fourier Transform for Non-Equidistant Meshes and Tomographic Applications. (Schnelle Fourier-Transformationen bei nicht äquidistanten Gittern und tomographische Anwendungen.) , Ph.D. thesis, Universität Münster, 1999
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M. Fenn, Fast Fourier Transform at Nonequispaced Nodes and Applications , Ph.D. thesis, Universität Mannheim, 2005
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M. Frigo and S. G. Johnson, The design and implementation of FFTW3 , Proceedings of the IEEE 93
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T. Gneiting, H. Ševčíková, D. B. Percival, M. Schlather, and Y. Jiang Fast and exact simulation of large Gaussian lattice systems in ℝ 2 \mathbb{R}^{2} : Exploring the limits , J. Comp. Graph. Stat., 15
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P. R. Kramer, O. Kurbanmuradov, and K. Sabelfeld, Comparative analysis of multiscale Gaussian random field simulation algorithms , J. Comput. Phys., 226
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A. Lang, Simulation of Stochastic Partial Differential Equations and Stochastic Active Contours , Ph.D. thesis, Universität Mannheim, 2007
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C. Prévôt and M. Röckner, A Concise Course on Stochastic Partial Differential Equations , Lecture Notes in Mathematics 1905. Berlin: Springer, 2007
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D. Potts and G. Steidl, Fast summation at nonequispaced knots by NFFT , SIAM J. Sci. Comput. 24
2037
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