Markov models of non-Gaussian exponentially correlated processes and theirapplications - art. no. 061103

We consider three different methods of generating non-Gaussian Markov proce sses with given probability density functions and exponential correlation f unctions. All models are based on stochastic differential equations. A numb er of analytically treatable examples are considered. The results obtained can be used in different areas such as telecommunications and neurobiology.