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Zapiski Nauchnykh Seminarov POMI, 2022, Volume 515, Pages 141–155 (Mi znsl7259)  

Energy efficient approximations of Brownian Sheet

N. A. Karagodin

Saint Petersburg State University
References:
Abstract: For a random field $B(t_1, \ldots, t_d), t_i \in [0, T_i]$ with a reproducing kernel $H$ and any function $f\in H$ define approximation error as
$$ \mathcal{E}_{\bar T}(f, B) =\int\limits_0^{T_1}\ldots \int\limits_0^{T_d} (f(\bar t) - B(\bar t))^2 d\bar t + \lambda^2 \|f\|_{H}^2. $$
The first term defines proximity of $f$ to $B$ and the second one defines energy efficiency of $f$. Coefficient $\lambda$ allows to balance between these two parts. The best approximation is
$$ f_{\mathrm{opt}} = \underset{f\in H}{\arg\min}\, \mathcal{E}_{\bar T}(f, B). $$
We prove the law of large numbers on convergence of optimal approximation error of Brownian Sheet in $L^2$ and almost surely.
Key words and phrases: energy efficient approximation, reproducing kernel, Brownian sheet, law of large numbers.
Funding agency Grant number
Russian Science Foundation 21-11-00047
Received: 24.10.2022
Bibliographic databases:
Document Type: Article
UDC: 519.2
Language: Russian
Citation: N. A. Karagodin, “Energy efficient approximations of Brownian Sheet”, Probability and statistics. Part 33, Zap. Nauchn. Sem. POMI, 515, POMI, St. Petersburg, 2022, 141–155
Citation in format AMSBIB
\Bibitem{Kar22}
\by N.~A.~Karagodin
\paper Energy efficient approximations of Brownian Sheet
\inbook Probability and statistics. Part~33
\serial Zap. Nauchn. Sem. POMI
\yr 2022
\vol 515
\pages 141--155
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl7259}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=4527617}
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