English

Approximation complexity of homogeneous sums of random processes

Probability 2018-06-01 v1

Abstract

We study approximation properties of additive random fields YdY_d, dNd\in\mathbb{N}, which are sums of zero-mean random processes with the same continuous covariance functions. The average case approximation complexity nYd(ε)n^{Y_d}(\varepsilon) is defined as the minimal number of evaluations of arbitrary linear functionals needed to approximate YdY_d, with relative 22-average error not exceeding a given threshold ε(0,1)\varepsilon\in(0,1). We investigate the growth of nYd(ε)n^{Y_d}(\varepsilon) for arbitrary fixed ε(0,1)\varepsilon\in(0,1) and dd\to\infty. The results are applied to sums of standard Wiener processes.

Keywords

Cite

@article{arxiv.1805.12581,
  title  = {Approximation complexity of homogeneous sums of random processes},
  author = {A. A. Khartov and M. Zani},
  journal= {arXiv preprint arXiv:1805.12581},
  year   = {2018}
}
R2 v1 2026-06-23T02:15:03.469Z