Energy of taut strings accompanying Wiener process

DOI10.1016/J.SPA.2014.09.020zbMATH Open1350.60030OpenAlexW2010840494MaRDI QIDQ2512840FDOQ2512840

Authors Eric Setterqvist, M. A. Lifshits 

Publication date 30 January 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.1651

zbMATH Keywords

Gaussian processesWiener processalmost sure convergenceenergy minimizationtaut string\(L_q\)-convergenceMarkovian pursuit

Mathematics Subject Classification ID

Gaussian processes (60G15) Strong limit theorems (60F15) Existence of optimal solutions to problems involving randomness (49J55) Sample path properties (60G17) (L^p)-limit theorems (60F25)

Abstract: Let $W$ be a Wiener process. The function $h(cdot)$ minmizing energy $in{t}_0^T{h}^{\prime }(t{)}^2,dt$ among all functions satisfying $W(t)-rleh(t)leW(t)+r$ on an interval $[0,T]$ is called taut string. This is a classical object well known in Variational Calculus, Mathematical Statistics, etc. We show that the energy of this taut string on large intervals is equivalent to $C^{2}T,/,r^2$ where $C$ is some finite positive constant. While the precise value of $C$ remains unknown, we give various theoretical bounds for it as well as rather precise results of computer simulation. While the taut string clearly depends on entire trajectory of $W$, we also consider an adaptive version of the problem by giving a construction (Markovian pursuit) of a random function based only on the past values of $W$ and having minimal asymptotic energy. The solution, an optimal pursuit strategy, quite surprisingly turns out to be related with a classical minimization problem for Fisher information on the bounded interval.

Recommendations

• Energy of taut strings accompanying a Wiener process and random walk in a band of variable width
• Energy of taut strings accompanying random walk
• Energy of a string driven by a two-parameter Gaussian noise white in time
• The energy spectrum of a twisted flexible string under elastic relaxation
• Casimir energy for a piecewise uniform string
• Energy in one-dimensional linear waves in a string
• Quantum energies of strings in a \((2+1)\)-dimensional gauge theory
• Partition functions of the tensionless string
• scientific article; zbMATH DE number 1771875

Cites Work

• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• scientific article; zbMATH DE number 782652 (Why is no real title available?)
• scientific article; zbMATH DE number 3247735 (Why is no real title available?)
• A Control Problem of Bellman
• A lim inf result in Strassen's law of the iterated logarithm
• An invariance principle for the law of the iterated logarithm
• Exact rate of convergence in Strassen's law of the iterated logarithm
• Extremal properties of half-spaces for spherically invariant measures
• Fisher information and spline interpolation
• Free-Knot Spline Approximation of Fractional Brownian Motion
• Free-knot spline approximation of stochastic processes
• Lectures on Gaussian Processes
• Local extremes, runs, strings and multiresolution. (With discussion)
• Locally adaptive regression splines
• On Asymptotic Minimax Estimates of the Second Order
• On a stochastic representation for the principal eigenvalue of a second-order differential equation
• On truncated variation, upward truncated variation and downward truncated variation for diffusions
• Some remarks on a question of Strassen
• The Brunn-Minkowski inequality in Gauss space
• Variational methods in imaging

Cited In (11)

• Energy of taut strings accompanying random walk
• Tracking a wiener process with a process of finite energy
• Contraction principle for trajectories of random walks and Cramér's theorem for kernel-weighted sums
• Energy saving approximation of Wiener process under unilateral constraints
• The energy spectrum of a twisted flexible string under elastic relaxation
• Discrete taut strings and real interpolation
• Energy of taut strings accompanying a Wiener process and random walk in a band of variable width
• Renewal structure of the Brownian taut string
• Invariant \(K\)-minimal sets in the discrete and continuous settings
• The rate at which energy decays in a string damped at one end
• Least energy approximation for processes with stationary increments

This page was built for publication: Energy of taut strings accompanying Wiener process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2512840)