Least energy approximation for processes with stationary increments (Q521969): Difference between revisions

The paper starts with the definition of a function $f=f_T$ to be the least energy approximation to a function $B$ on an interval $[0,T]$ with penalty $Q$, and the known example of the taut string is presented. After an analysis of the approximation on a fixed interval $[0,T]$, the approximation in a long run $(T\rightarrow\infty)$ is studied. The main results of the paper are obtained in the third section, where applications to processes with stationary increments are given. Here a brief reminder on the processes with stationary increments is presented, and results which describe the behavior of the average least energy approximation for arbitrary process with stationary increments are obtained. If $B$ is a random process with stationary increments, then on large intervals its least energy approximation also is closed with a process of the same class and the relation between corresponding spectral measures can be found. Almost sure and $L_1$ convergence is studied for Gaussian processes and for processes with independent stationary increments (Lévy processes). Also an alternative approach to the least energy approximation for a Wiener process is given.