Multiresolution Hilbert approach to multidimensional Gauss-Markov processes

DOI10.1155/2011/247329MaRDI QIDQ413918zbMATH OpenOpenAlexWikidataFDO

Authors Thibaud Taillefumier, Jonathan Touboul

Publication date 8 May 2012

Published in International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1009.0533

zbMATH Keywords

Gauss-Markov processesLévy-Ciesielski constructionoptimal approximation of a processWiener process

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60)

Abstract: 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 L'{e}vy-Cieselski 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 unitary variance. We thereby offer a natural multi-resolution description of Gauss-Markov processes as limits of the 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 simpler treatment in many applied and theoretical fields and we provide a short overview of applications we are currently developing.

Review text

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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Cited in

(2)

• Properties of Hida processes on \({\mathbb{R}}^ 2\). II. Prediction and interpolation problems for processes on \({\mathbb{R}}^ 2\)
• A Transition to Sharp Timing in Stochastic Leaky Integrate-and-Fire Neurons Driven by Frozen Noisy Input

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