Least Energy Approximation for Processes with Stationary Increments

Z. Kabluchko, M. Lifshits

Research output

2 Citations (Scopus)


© 2015 Springer Science+Business Media New YorkA function (Formula presented.) is called least energy approximation to a function B on the interval [0, T] with penalty Q if it solves the variational problem (Formula presented.)For quadratic penalty, the least energy approximation can be found explicitly. If B is a random process with stationary increments, then on large intervals, (Formula presented.) also is close to a process of the same class, and the relation between the corresponding spectral measures can be found. We show that in a long run (when (Formula presented.)), the expectation of energy of optimal approximation per unit of time converges to some limit which we compute explicitly. For Gaussian and Lévy processes, we complete this result with almost sure and (Formula presented.) convergence. As an example, the asymptotic expression of approximation energy is found for fractional Brownian motion.
Original languageEnglish
Pages (from-to)268–296
Number of pages29
JournalJournal of Theoretical Probability
Issue number1
Publication statusPublished - 2017

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