Least energy approximation for processes with stationary increments

DOI10.1007/s10959-015-0642-8zbMath1419.60030arXiv1506.08369OpenAlexW2962698275MaRDI QIDQ521969

Mikhail Lifshits, Zakhar Kabluchko

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

variational calculusfractional Brownian motionGaussian processlimit theoremLévy processstationary incrementsleast energy approximation

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) (L^p)-limit theorems (60F25) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (4)

Energy of taut strings accompanying a Wiener process and random walk in a band of variable width ⋮ Some extensions of linear approximation and prediction problems for stationary processes ⋮ Adaptive energy-saving approximation for stationary processes ⋮ Energy of taut strings accompanying random walk

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