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 processStochastic differential equationFree knotsIntegrated Wiener processOptimal spline approximation

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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.

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Cited in

(21)

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• Statistical modeling of diffusion processes with free knot splines
• Free-Knot Spline Approximation of Fractional Brownian Motion
• Approximation of stochastic processes by spline systems
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• A generative model for fBm with deep ReLU neural networks
• Parameter estimation in stochastic differential equations
• Strong approximation of some particular one-dimensional diffusions
• The optimal free knot spline approximation of stochastic differential equations with additive noise

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