Least energy approximation for processes with stationary increments

DOI10.1007/S10959-015-0642-8zbMATH Open1419.60030arXiv1506.08369OpenAlexW2962698275MaRDI QIDQ521969FDOQ521969

Authors: Zakhar Kabluchko, M. A. Lifshits 

Publication date: 12 April 2017

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

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.

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

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zbMATH Keywords

Gaussian processfractional Brownian motionlimit theoremvariational calculusstationary incrementsleast energy approximationLévy process

Mathematics Subject Classification ID

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

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Cited In (5)

• Energy of taut strings accompanying random walk
• Adaptive energy-saving approximation for stationary processes
• Energy saving approximation of Wiener process under unilateral constraints
• 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

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