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

random fieldslimit theoremsrandom measuresrearrangement

Mathematics Subject Classification ID

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

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.

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Cites work

• scientific article; zbMATH DE number 2152204 (Why is no real title available?)
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Cited in

(5)

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

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