Approximation of local times of Gaussian surfaces

DOI10.1007/BF01195880MaRDI QIDQ1326332zbMATH OpenFDO

Authors Corinne Berzin, Mario Wschebor

Publication date 28 August 1994

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01195880

zbMATH Keywords

behavior of the covariancedependence on the thicknessGaussian processregularizations of the trajectoriesspectral measurestationary Gaussian process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Local time and additive functionals (60J55)

Review text

Let \(X\) be a centered stationary Gaussian process with a \(d\)-dimensional parameter \((d \geq 2)\), \(F\) its spectral measure, \(\int_{R^ d} \| x \|^ 2 F(dx)=+\infty\) \((\| x \|\) denotes the Euclidean norm of \(x)\). We consider regularizations of the trajectories of \(X\) by means of convolutions of the form \(X_ \varepsilon (t)=(\Psi_ \varepsilon * X) (t)\) where \(\Psi_ \varepsilon\) stands for an approximation of unity (as \(\varepsilon\) tends to zero) satisfying certain regularity conditions. The aim of this paper is to recover the local time of \(X\) at a given level \(u\), as a limit of appropriate normalizations of the geometric measure of the \(u\)-level set of the regular approximating processes \(X_ \varepsilon\). A part of the difficulties comes from the fact that the geometric behavior of the covariance of the Gaussian process \(X_ \varepsilon\) can be a complex one as \(\varepsilon\) approaches 0. The results are on \(L^ 2\)-convergence and include bounds for the speed of convergence. \(L^ p\) results may be obtained in similar ways, but almost sure convergence or simultaneous convergence for the various values of \(u\) do not seem to follow from our methods. In Sect. 3 we have included examples showing a diversity of geometric behaviors, especially in what concerns the dependence on the thickness of the set in which covariance of the original process \(X\) is irregular. Some technical results of analytic nature are included as appendices in Sect. 4.

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Cites work

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