Free-knot spline approximation of stochastic processes (Q2465309)
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scientific article; zbMATH DE number 5224962
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| English | Free-knot spline approximation of stochastic processes |
scientific article; zbMATH DE number 5224962 |
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Free-knot spline approximation of stochastic processes (English)
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9 January 2008
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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.
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Integrated Wiener process
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Diffusion process
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Stochastic differential equation
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Optimal spline approximation
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Free knots
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0.8680496215820312
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0.8500708937644958
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0.8265161514282227
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