English

Asymptotic expansions for functions of the increments of certain Gaussian processes

Probability 2009-10-15 v2

Abstract

Let G={G(x),x0}G=\{G(x),x\ge 0\} be a mean zero Gaussian process with stationary increments and set σ2(xy)=E(G(x)G(y))2\sigma^2(|x-y|)= E(G(x)-G(y))^2. Let ff be a function with Ef2(η)<\ffEf^{2}(\eta)<\ff, where η=N(0,1)\eta=N(0,1). When σ2\sigma^2 is regularly varying at zero and limh0h2σ2(h)=0andlimh0σ2(h)h=0but(d2ds2σ2(s))j0 \lim_{h\to 0}{h^2\over \sigma^2(h)}= 0\qquad {and}\qquad \lim_{h\to 0}{\sigma^2(h)\over h}= 0 \quad {but} \quad ({d^{2}\over ds^2}\sigma^2(s))^{j_0} is locally integrable for some integer j01j_0\ge 1, and satisfies some additional regularity conditions, \bea && \int_a^bf(\frac{G(x+h)-G(x)}{\sigma (h)}) dx \label{abst}\nn &&\qquad = \sum_{j=0}^{j_0} (h/\sigma(h))^{j} {E(H_{j}(\eta) f(\eta))\over\sqrt {j!}} :(G')^{j}:(I_{[a,b]}) +o({h\over\sigma (h)})^{j_0}\nn \eea in L2L^2. Here HjH_j is the jj-th Hermite polynomial. Also :(G)j:(I[a,b]):(G')^{j}:(I_{[a,b]}) is a jj -th order Wick power Gaussian chaos constructed from the Gaussian field G(g) G'(g) , with covariance E(G(g)G(\wtg))=ρ(xy)g(x)\wtg(y)dxdy\label3.7bqs, E(G'(g)G'(\wt g)) = \int \int \rho (x-y)g(x)\wt g(y) dx dy\label{3.7bqs}, where ρ(s)=1/2d2ds2σ2(s) \rho(s)={1/2}{d^{2}\over ds^2}\sigma^2(s).

Keywords

Cite

@article{arxiv.0707.3928,
  title  = {Asymptotic expansions for functions of the increments of certain Gaussian processes},
  author = {Michael Marcus and Jay Rosen},
  journal= {arXiv preprint arXiv:0707.3928},
  year   = {2009}
}