Free-knot spline approximation of stochastic processes

DOI10.1016/J.JCO.2007.05.003MaRDI QIDQ2465309zbMATH OpenOpenAlexFDO

Authors J. Creutzig, Thomas Müller-Gronbach, Klaus Ritter

Publication date 9 January 2008

Published in Journal of Complexity (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0612313

zbMATH Keywords

Diffusion processFree knotsIntegrated Wiener processOptimal spline approximationStochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We study optimal approximation of stochastic processes by polynomial splines with free knots. The number of free knots is either a priori fixed or may depend on the particular trajectory. For the $s$-fold integrated Wiener process as well as for scalar diffusion processes we determine the asymptotic behavior of the average $L_p$-distance to the splines spaces, as the (expected) number $k$ of free knots tends to infinity.

Review text

Optimal approximation of stochastic processes by polynomial splines with free knots is studied. The number of free knots is either a priori fixed or may depend on the particular trajectory. For the \(s\)-fold integrated Wiener process as well as for scalar diffusion processes the authors determine the asymptotic behavior of the average \(L_p\)-distance to the spline spaces, as the (expected) number of free knots tends to infinity. The theorems are well-formulated and the paper is well-organized.

Recommendations

• The optimal free knot spline approximation of stochastic differential equations with additive noise
• A Milstein-based free knot spline approximation for stochastic differential equations
• scientific article; zbMATH DE number 3965113
• Free-Knot Spline Approximation of Fractional Brownian Motion
• scientific article; zbMATH DE number 3969272

Cites work

• Average \(n\)-widths of the Wiener space in the \(L_ \infty\)-norm
• Average-case analysis of numerical problems
• Gaussian processes: Inequalities, small ball probabilities and applications
• scientific article; zbMATH DE number 44592 (Why is no real title available?)
• scientific article; zbMATH DE number 3504209 (Why is no real title available?)
• scientific article; zbMATH DE number 1215245 (Why is no real title available?)
• scientific article; zbMATH DE number 497469 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 939851 (Why is no real title available?)
• Information-based nonlinear approximation: an average case setting
• Nonlinear Approximation of Random Functions
• On the importance of combining wavelet-based nonlinear approximation with coding strategies
• On the rate of convergence in Strassen's law of the iterated logarithm
• Relations between classical, average, and probabilistic Kolmogorov widths
• The optimal discretization of stochastic differential equations
• The optimal uniform approximation of systems of stochastic differential equations
• Weak convergence and empirical processes. With applications to statistics
• Widths and distributions of values of the approximation functional on the Sobolev spaces with measure

Cited in

(21)

• Approximation of stochastic processes by spline systems
• Statistical modeling of diffusion processes with free knot splines
• Adaptive wavelet methods for the stochastic Poisson equation
• Spline approximation of random processes and design problems
• A generative model for fBm with deep ReLU neural networks
• Energy of taut strings accompanying Wiener process
• Parameter estimation in stochastic differential equations
• Approximation of random processes by cubic splines
• Free-Knot Spline Approximation of Fractional Brownian Motion
• scientific article; zbMATH DE number 3965113 (Why is no real title available?)
• scientific article; zbMATH DE number 3969272 (Why is no real title available?)
• The optimal free knot spline approximation of stochastic differential equations with additive noise
• Simulation and Approximation of Stochastic Processes by Spline Functions
• Generalized fractional smoothness and L_p-variation of BSDEs with non-Lipschitz terminal condition
• On linear versus nonlinear approximation in the average case setting
• Sequential construction and dimension reduction of Gaussian processes under inequality constraints
• An optimal polynomial approximation of Brownian motion
• Strong approximation of some particular one-dimensional diffusions
• Spline approximation of a random process with singularity
• A Milstein-based free knot spline approximation for stochastic differential equations
• On the construction of stochastic fields with prescribed regularity by wavelet expansions

This page was built for publication: Free-knot spline approximation of stochastic processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2465309)