Exact simulation of Brown-Resnick random fields at a finite number of locations

TL;DR

This paper introduces an exact simulation method for Brown-Resnick random fields using new representations and measure changes, enabling precise simulation at finite locations.

Contribution

The paper presents a novel exact simulation technique for Brown-Resnick fields based on new representations and measure transformations.

Findings

Enables exact simulation at finite locations

Uses new representations for max-stable fields

Employs measure change techniques

Abstract

We propose an exact simulation method for Brown-Resnick random fields, building on new representations for these stationary max-stable fields. The main idea is to apply suitable changes of measure.