A Haar-like construction for the Ornstein Uhlenbeck process

DOI10.1007/S10955-008-9545-8MaRDI QIDQ944969zbMATH OpenOpenAlexFDO

Authors Thibaud Taillefumier, Marcelo O. Magnasco

Publication date 10 September 2008

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0709.1726

zbMATH Keywords

Brownian motionHaar basisOrnstein-Uhlenbeck process

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41)

Abstract: The classical Haar construction of Brownian motion uses a binary tree of triangular wedge-shaped functions. This basis has compactness properties which make it especially suited for certain classes of numerical algorithms. We present a similar basis for the Ornstein-Uhlenbeck process, in which the basis elements approach asymptotically the Haar functions as the index increases, and preserve the following properties of the Haar basis: all basis elements have compact support on an open interval with dyadic rational endpoints; these intervals are nested and become smaller for larger indices of the basis element, and for any dyadic rational, only a finite number of basis elements is nonzero at that number. Thus the expansion in our basis, when evaluated at a dyadic rational, terminates in a finite number of steps. We prove the covariance formulae for our expansion and discuss its statistical interpretation and connections to asymptotic scale invariance.

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Cited in

(6)

• A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet
• Multiresolution Hilbert approach to multidimensional Gauss-Markov processes
• A phase transition in the first passage of a Brownian process through a fluctuating boundary with implications for neural coding
• Two-boundary first exit time of Gauss-Markov processes for stochastic modeling of acto-myosin dynamics
• A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries
• Haar-based multiresolution stochastic processes

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