Regularity of Gaussian processes on Dirichlet spaces

DOI10.1007/S00365-018-9416-8MaRDI QIDQ1745366zbMATH OpenOpenAlexFDO

Authors Shigeyoshi Ogawa, Dominique Picard, Gérard Kerkyacharian, Pencho Petrushev

Publication date 17 April 2018

Published in Constructive Approximation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1508.00822

Besov spaces Dirichlet spaces Gaussian processes heat kernel homogeneous spaces regularity

General harmonic expansions, frames (42C15) Harmonic analysis on homogeneous spaces (43A85) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Heat and other parabolic equation methods for PDEs on manifolds (58J35) Diffusion processes and stochastic analysis on manifolds (58J65) Gaussian processes (60G15) Sample path properties (60G17) Generalized stochastic processes (60G20)

Abstract: We are interested in the regularity of centered Gaussian processes (Z_x), x in M indexed by compact metric spaces M. It is shown that the almost everywhere Besov space regularity of such a process is (almost) equivalent to the Besov regularity of the covariance K(x,y) = E(Z_xZ_y) under the assumption that (i) there is an underlying Dirichlet structure on M which determines the Besov space regularity, and (ii) the operator K with kernel K(x,y) and the underlying operator A of the Dirichlet structure commute. As an application of this result we establish the Besov regularity of Gaussian processes indexed by compact homogeneous spaces and, in particular, by the sphere.

Review text

The authors bring an interesting new contribution to the very classical question of the regularity of Gaussian processes. For that, they consider a compact connected space endowed with a Radon measure \(\mu\) having full support, and with a conservative Markov semi-group \((P_t)\) with infinitesimal generator \(A\) and ``carré du champ \(\Gamma\), such that the topology of \(M\) is generated by the metric \(\,\varrho(x,y):= \sup\big\{f(x)-f(y)\,\big|\,x,y\in M,\, \Gamma(f,f)\leq 1\big\}\). They also assume that \((M,\varrho,\mu)\) satisfies the doubling property, and that a Poincaré inequality holds. They moreover consider a centred Gaussian process \(Z\equiv (Z_x,\,x\in M)\) with covariance function \(K\) commuting with \((P_t)\), \ and Besov spaces \(\,B^s_{\infty,q}\) (for \(s>0, 1\leq q\leq \infty\)). Then the authors establish the following nice and new characterization of the regularity of \(Z\,\): if \(\,\sup_{x\in M}\limits \|K(x,{\cdot}) \|_{B^s_{\infty,\infty}} <\infty\,\) and \(\,0<\alpha<s/2\,\), then almost every trajectory of \(Z\) belongs to \(\,B^\alpha_{\infty,1}\,\); \ and conversely, the almost sure \(\,B^\alpha_{\infty,\infty}\)-regularity of \(Z\) entails \(\,\sup_{x\in M}\limits \|K(x,{\cdot}) \|_{B^{2\alpha}_{\infty,\infty}} <\infty\,\). This statement is completed by an Itô-Nisio representation of \(Z\), yielding a Wiener-like probability measure on \(\,B^\alpha_{\infty,1}\,\), and by a characterization of the above regularity condition on \(K\) in terms of the associated reproducing kernel Hilbert space\(\,\): \(H_K\subset B^{s/2}_{\infty,\infty}\). The particular case of \(M\) being homogeneous, and more particularly a sphere, is emphasized.

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