On a consistent estimator of a useful signal in Ornstein-Uhlenbeck model in \mathbb{C}[-l,l[

Publication date 10 December 2016

Abstract: ~It is considered a transmittion process of a useful signal in Ornstein-Uhlenbeck model in

m a t h b b C [- l, l [

defined by the stochastic differential equation

dPsi(t,x,omega)=sum_{n=0}^{2m} A_nfrac{partial^{n}}{partial x^{n}}Psi(t,x,omega)dt +sigma d W(t,omega)

with initial condition

Psi(0,x,omega)=Psi_0(x) in FD^{(0)}[-l,l[,

where

m g e 1

,

(A_{n})_{0 l e n l e 2 m} i n m a t h b b R^{+} i m e s m a t h b b R^{2 m - 1}

,

((t, x, o m e g a) i n [0, + i n f t y [i m e s [- l, l [i m e s O m e g a)

,

s i g m a i n m a t h b b R^{+}

,

m a t h b b C [- l, l [

is Banach space of all real-valued bounded continuous functions on

[- l, l [

,

F D^{(0)} [- l, l [s u b s e t m a t h b b C [- l, l [

is class of all real-valued bounded continuous functions on

[- l, l [

whose Fourier series converges to himself everywhere on

[- l, l [

,

(W (t, o m e g a))_{t g e 0}

is a Wiener process and

P s i_{0} (x)

is a useful signal. By use a sequence of transformed signals

(Z_{k})_{k i n N} = (P s i (t_{0}, x, o m e g a_{k}))_{k i n N}

at moment

t_{0} > 0

, consistent and infinite-sample consistent estimations of the useful signal

P s i_{0}

is constructed under assumption that parameters

(A_{n})_{0 l e n l e 2 m}

and

s i g m a

are known. Animation and simulation of the Ornstein-Uhlenbeck process in

m a t h b b C [- l, l [

and an estimation of a useful signal are also presented.

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