Least energy approximation for processes with stationary increments

DOI10.1007/S10959-015-0642-8MaRDI QIDQ521969zbMATH OpenOpenAlexFDO

Authors Zakhar Kabluchko, M. A. Lifshits

Publication date 12 April 2017

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.08369

zbMATH Keywords

fractional Brownian motionGaussian processleast energy approximationlimit theoremLévy processstationary incrementsvariational calculus

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Strong limit theorems (60F15) (L^p)-limit theorems (60F25) Stationary stochastic processes (60G10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51)

Abstract: A function $f=f_T$ is called least energy approximation to a function $B$ on the interval $[0,T]$ with penalty $Q$ if it solves the variational problem ${\displaystyle }$ int_0^T left[ f'(t)^2 + Q(f(t)-B(t)) ight] dt searrow min. ${\displaystyle }$ For quadratic penalty the least energy approximation can be found explicitly. If $B$ is a random process with stationary increments, then on large intervals $f_T$ also is close to a process of the same class and the relation between the corresponding spectral measures can be found. We show that in a long run (when $Toinfty$) the expectation of energy of optimal approximation per unit of time converges to some limit which we compute explicitly. For Gaussian and L'evy processes we complete this result with almost sure and $L^1$ convergence. As an example, the asymptotic expression of approximation energy is found for fractional Brownian motion.

Review text

The paper starts with the definition of a function $f=f_T$ to be the least energy approximation to a function $B$ on an interval $[0,T]$ with penalty $Q$, and the known example of the taut string is presented. After an analysis of the approximation on a fixed interval $[0,T]$, the approximation in a long run $(T\rightarrow\infty)$ is studied. The main results of the paper are obtained in the third section, where applications to processes with stationary increments are given. Here a brief reminder on the processes with stationary increments is presented, and results which describe the behavior of the average least energy approximation for arbitrary process with stationary increments are obtained. If $B$ is a random process with stationary increments, then on large intervals its least energy approximation also is closed with a process of the same class and the relation between corresponding spectral measures can be found. Almost sure and $L_1$ convergence is studied for Gaussian processes and for processes with independent stationary increments (Lévy processes). Also an alternative approach to the least energy approximation for a Wiener process is given.

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Cites work

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Cited in

(7)

• Some extensions of linear approximation and prediction problems for stationary processes
• Energy of taut strings accompanying a Wiener process and random walk in a band of variable width
• Energy of taut strings accompanying random walk
• Adaptive energy-saving approximation for stationary processes
• Energy saving approximation of Wiener process under unilateral constraints
• Energy-efficient approximations of a Brownian sheet
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