The Banach spaces F_ ( ) of random variables

DOI10.1090/S0094-9000-2013-00892-8MaRDI QIDQ2922892zbMATH OpenOpenAlexFDO

Authors Yu. Yu. Mlavets', Yu. V. Kozachenko

Publication date 15 October 2014

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/s0094-9000-2013-00892-8

zbMATH Keywords

Banach spaces of random variablesmoment normsOrlicz spacesstochastic processes

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) General theory of stochastic processes (60G07) Monte Carlo methods (65C05)

Review text

This paper studies the space \(\mathbf F_\psi(\Omega)\) in connection with the theory of stochastic processes motivated by the original problem of obtaining accurate Monte Carlo approximations of integrals over a finite dimensional space depending on a parameter, a problem originally considered in [\textit{Yu. V. Kozachenko} and \textit{Yu. Yu. Mlavets}, Monte Carlo Methods Appl. 17, No. 2, 155--168 (2011; Zbl 1221.65011)]. The space considered consists of measurable functions \(\xi\) endowed with the norm NEWLINE\[NEWLINE \|{\xi}\|_\psi=\sup_{u\geq1}\frac{\operatorname{E}(|\xi|^u)^{1/u}}{\psi(u)},NEWLINE\]NEWLINE where \(\psi:\,]1,\infty[\to\mathbb R_+\) is increasing to \(\infty\) and continuous. The stochastic processes considered are collections indexed by a compact metric space of elements of some space as above. The authors establish some maximal as well as norm inequalities which follow from Theorem 4.1. The Monte Carlo applications are announced to be treated in a forthcoming sequel.

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Cites work

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• scientific article; zbMATH DE number 1433619 (Why is no real title available?)
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Cited in

(9)

• Lipschitz conditions for stochastic processes in the Banach spaces \(\mathbb {F}_\psi (\Omega)\) of random variables
• Restricted isometry property for matrices whose entries are random variables belonging to some Orlicz spaces L_U()
• An application of the theory of spaces \(\mathbf{F}_\psi(\Omega)\) for evaluating multiple integrals by using the Monte Carlo method
• Accuracy and reliability of a model for a Gaussian homogeneous and isotropic random field in the space \(L_{p}(\mathbb{T})\), \(p\geq1\)
• scientific article; zbMATH DE number 4018005 (Why is no real title available?)
• scientific article; zbMATH DE number 3932117 (Why is no real title available?)
• The space \(D\) in several variables: random variables and higher moments
• Monte Carlo convergence rates for kth moments in Banach spaces
• On convergence of the uniform norm and approximation for stochastic processes from the space \(\mathbf{F}_\psi (\Omega)\)

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