43,334 research outputs found
Fock factorizations, and decompositions of the spaces over general Levy processes
We explicitly construct and study an isometry between the spaces of square
integrable functionals of an arbitrary Levy process and a vector-valued
Gaussian white noise. In particular, we obtain explicit formulas for this
isometry at the level of multiplicative functionals and at the level of
orthogonal decompositions, as well as find its kernel. We consider in detail
the central special case: the isometry between the spaces over a Poisson
process and the corresponding white noise. The key role in our considerations
is played by the notion of measure and Hilbert factorizations and related
notions of multiplicative and additive functionals and logarithm. The obtained
results allow us to introduce a canonical Fock structure (an analogue of the
Wiener--Ito decomposition) in the space over an arbitrary Levy process.
An application to the representation theory of current groups is considered. An
example of a non-Fock factorization is given.Comment: 35 pages; LaTeX; to appear in Russian Math. Survey
Simulation of stochastic Volterra equations driven by space--time L\'evy noise
In this paper we investigate two numerical schemes for the simulation of
stochastic Volterra equations driven by space--time L\'evy noise of pure-jump
type. The first one is based on truncating the small jumps of the noise, while
the second one relies on series representation techniques for infinitely
divisible random variables. Under reasonable assumptions, we prove for both
methods - and almost sure convergence of the approximations to the true
solution of the Volterra equation. We give explicit convergence rates in terms
of the Volterra kernel and the characteristics of the noise. A simulation study
visualizes the most important path properties of the investigated processes
Signal processing with Levy information
Levy processes, which have stationary independent increments, are ideal for
modelling the various types of noise that can arise in communication channels.
If a Levy process admits exponential moments, then there exists a parametric
family of measure changes called Esscher transformations. If the parameter is
replaced with an independent random variable, the true value of which
represents a "message", then under the transformed measure the original Levy
process takes on the character of an "information process". In this paper we
develop a theory of such Levy information processes. The underlying Levy
process, which we call the fiducial process, represents the "noise type". Each
such noise type is capable of carrying a message of a certain specification. A
number of examples are worked out in detail, including information processes of
the Brownian, Poisson, gamma, variance gamma, negative binomial, inverse
Gaussian, and normal inverse Gaussian type. Although in general there is no
additive decomposition of information into signal and noise, one is led
nevertheless for each noise type to a well-defined scheme for signal detection
and enhancement relevant to a variety of practical situations.Comment: 27 pages. Version to appear in: Proc. R. Soc. London
High level excursion set geometry for non-Gaussian infinitely divisible random fields
We consider smooth, infinitely divisible random fields ,
, with regularly varying Levy measure, and are
interested in the geometric characteristics of the excursion sets over high levels u. For a large class of such random fields, we
compute the asymptotic joint distribution of the numbers of
critical points, of various types, of X in , conditional on being
nonempty. This allows us, for example, to obtain the asymptotic conditional
distribution of the Euler characteristic of the excursion set. In a significant
departure from the Gaussian situation, the high level excursion sets for these
random fields can have quite a complicated geometry. Whereas in the Gaussian
case nonempty excursion sets are, with high probability, roughly ellipsoidal,
in the more general infinitely divisible setting almost any shape is possible.Comment: Published in at http://dx.doi.org/10.1214/11-AOP738 the Annals of
Probability (http://www.imstat.org/aop/) by the Institute of Mathematical
Statistics (http://www.imstat.org
Best Unbiased Estimates for the Microwave Background Anisotropies
It is likely that the observed distribution of the microwave background
temperature over the sky is only one realization of the underlying random
process associated with cosmological perturbations of quantum-mechanical
origin. If so, one needs to derive the parameters of the random process, as
accurately as possible, from the data of a single map. These parameters are of
the utmost importance, since our knowledge of them would help us to reconstruct
the dynamical evolution of the very early Universe. It appears that the lack of
ergodicity of a random process on a 2-sphere does not allow us to do this with
arbitrarily high accuracy. We are left with the problem of finding the best
unbiased estimators of the participating parameters. A detailed solution to
this problem is presented in this article. The theoretical error bars for the
best unbiased estimates are derived and discussed.Comment: 26 pages, revtex; minor modifications, 8 new references, to be
published in Phys. Rev.
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