Approximation complexity of sums of random processes

Abstract: We study approximation properties of additive random fields

Y_{d}

,

d i n m a t h b b N

, which are sums of zero-mean random processes with the same continuous covariance functions. The average case approximation complexity

n^{Y_{d}} (v a r e p s i l o n)

is defined as the minimal number of evaluations of arbitrary linear functionals needed to approximate

Y_{d}

, with relative

2

-average error not exceeding a given threshold

v a r e p s i l o n i n (0, 1)

. We investigate the growth of

n^{Y_{d}} (v a r e p s i l o n)

for arbitrary fixed

v a r e p s i l o n i n (0, 1)

and

d o i n f t y

. The results are applied to sums of standard Wiener processes.

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