Multiresolution Hilbert approach to multidimensional Gauss-Markov processes (Q413918): Difference between revisions
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English | Multiresolution Hilbert approach to multidimensional Gauss-Markov processes |
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Multiresolution Hilbert approach to multidimensional Gauss-Markov processes (English)
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8 May 2012
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Summary: The study of multidimensional stochastic processes involves complex computations in intricate functional spaces. In particular, the diffusion processes, which include the practically important Gauss-Markov processes, are ordinarily defined through the theory of stochastic integration. Here, inspired by the Lévy-Ciesielski construction of the Wiener process, we propose an alternative representation of multidimensional Gauss-Markov processes as expansions on well-chosen Schauder bases, with independent random coefficients of normal law with zero mean and unit variance. We thereby offer a natural multiresolution description of the Gauss-Markov processes as limits of finite-dimensional partial sums of the expansion, that are strongly almost-surely convergent. Moreover, such finite-dimensional random processes constitute an optimal approximation of the process, in the sense of minimizing the associated Dirichlet energy under interpolating constraints. This approach allows for a simpler treatment of problems in many applied and theoretical fields, and we provide a short overview of applications we are currently developing.
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optimal approximation of a process
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Lévy-Ciesielski construction
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Wiener process
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Gauss-Markov processes
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