Rearrangements of Gaussian fields

DOI10.1016/J.SPA.2011.07.004MaRDI QIDQ719776zbMATH OpenOpenAlexFDO

Authors Youri Davydov, Raphael Lachieze-Rey

Publication date 11 October 2011

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0909.1288

zbMATH Keywords

limit theoremsrandom fieldsrandom measuresrearrangement

Mathematics Subject Classification ID

Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Central limit and other weak theorems (60F05) Random measures (60G57) Random fields (60G60)

Abstract: The monotone rearrangement of a function is the non-decreasing function with the same distribution. The convex rearrangement of a smooth function is obtained by integrating the monotone rearrangement of its derivative. This operator can be applied to regularizations of a stochastic process to measure quantities of interest in econometrics. A multivariate generalization of these operators is proposed, and the almost sure convergence of rearrangements of regularized Gaussian fields is given. For the Fractional Brownian field or the Brownian sheet approximated on a simplicial grid, it appears that the limit object depends on the orientation of the simplices.

Review text

The authors define the notion of rearrangement for multiparameter functions defined on a compact set of \(\mathbb{R}^d\). For a function defined on the real line, a monotone rearrangement is a non-decreasing map which preserves the distribution of the original map. Monotone rearrangements find applications in Economics and are related to the optimal transport problem. Another useful result, is to determine the convex rearrangement of a Gaussian process as the limit in distribution of convex rearrangements of regular discrete approximations of the process. For instance, it has been shown in the literature that this limit is independent of the chosen approximation (piece-wise linear interpolation, approximation by convolution, etc.) for a certain class of Gaussian processes. In this paper, the authors prove this is no longer the case for anisotropic multivariate random fields. In Section 1 the authors provide a review of rearrangements for univariate functions and their links to Economics, optimal transport and to the regular approximations aforementioned. Then the results about the multivariate framework are presented in Section 2. Finally, Section 3 is devoted to the particular case of the fractional Brownian field and of the Brownian sheet.

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Cites work

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Cited in

(5)

• Constructive approach to the monotone rearrangement of functions
• scientific article; zbMATH DE number 3886830 (Why is no real title available?)
• scientific article; zbMATH DE number 38153 (Why is no real title available?)
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• Réarrangements convexes de processus stochastiques

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