Energy of taut strings accompanying Wiener process

DOI10.1016/J.SPA.2014.09.020zbMATH Open1350.60030arXiv1405.1651OpenAlexW2010840494MaRDI QIDQ2512840FDOQ2512840

Eric Setterqvist, M. A. Lifshits

Publication date: 30 January 2015

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

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.

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

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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)

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Cited In (10)

• Energy of taut strings accompanying random walk
• Tracking a wiener process with a process of finite energy
• 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
• Contraction principle for trajectories of random walks and Cramer's theorem for kernel-weighted sums
• 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

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