TY - JOUR

T1 - Least Energy Approximation for Processes with Stationary Increments

AU - Kabluchko, Z.

AU - Lifshits, M.

PY - 2017

Y1 - 2017

N2 - © 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.

AB - © 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.

U2 - 10.1007/s10959-015-0642-8

DO - 10.1007/s10959-015-0642-8

M3 - Article

VL - 30

SP - 268

EP - 296

JO - Journal of Theoretical Probability

JF - Journal of Theoretical Probability

SN - 0894-9840

IS - 1

ER -