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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2022 Volume 515, Pages 141–155 (Mi znsl7259)

Energy efficient approximations of Brownian Sheet

N. A. Karagodin

Saint Petersburg State University

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.

UDC: 519.2

Received: 24.10.2022



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© Steklov Math. Inst. of RAS, 2024