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Energy of taut strings accompanying Wiener process
Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology. St Petersburg State University, Russia.
Linköping University, Department of Mathematics, Mathematics and Applied Mathematics. Linköping University, The Institute of Technology.
2015 (English)In: Stochastic Processes and their Applications, ISSN 0304-4149, E-ISSN 1879-209X, Vol. 125, no 2, p. 401-427Article in journal (Refereed) Published
##### Abstract [en]

Let W be a Wiener process. For r greater than 0 and T greater than 0 let I-W (T, r)(2) denote the minimal value of the energy integral(T)(0) h(t)(2)dt taken among all absolutely continuous functions h(.) defined on [0, T], starting at zero and satisfying W(t) - r less than= h(t) less than= W(t) + r, 0 less than= t less than= T. The function minimizing energy is a taut string, a classical object well known in Variational Calculus, in Mathematical Statistics, and in a broad range of applications. We show that there exists a constant C E (0, infinity) such that for any q greater than 0 r/T-1/2 I-W (T, r) -greater than(Lq) C, as r/T-1/2 -greater than 0, and for any fixed r greater than 0, r/(TIW)-I-1/2 (T, r)-greater than(a.s.) C, as T -greater than infinity. Although precise value of C remains unknown, we give various theoretical bounds for it, as well as rather precise results of computer simulation. While the taut string clearly depends on entire trajectory of W, we also consider an adaptive version of the problem by giving a construction (called Markovian pursuit) of a random function h(t) based only on the values W(s), s less than= t, and having minimal asymptotic energy. The solution, i.e. an optimal pursuit strategy, turns out to be related with a classical minimization problem for Fisher information on the bounded interval.

##### Place, publisher, year, edition, pages
Elsevier , 2015. Vol. 125, no 2, p. 401-427
##### Keyword [en]
Gaussian processes; Markovian pursuit; Taut string; Wiener process
Mathematics
##### Identifiers
ISI: 000349501200001OAI: oai:DiVA.org:liu-115334DiVA, id: diva2:795025
##### Note

Funding Agencies| [RFBR 13-01-00172]; [SPbSU 6.38.672.2013]

Available from: 2015-03-13 Created: 2015-03-13 Last updated: 2017-12-04
##### In thesis
1. Taut Strings and Real Interpolation
Open this publication in new window or tab >>Taut Strings and Real Interpolation
2016 (English)Doctoral thesis, comprehensive summary (Other academic)
##### Abstract [en]

The taut string problem concerns finding the function with the shortest graph length, i.e. the taut string, in a certain set  of continuous piecewise linear functions. It has appeared in a broad range of applications including statistics, image processing and economics. As it turns out, the taut string has besides minimal graph length also minimal energy and minimal total variation among the functions in Ω.

The theory of real interpolation is based on Peetre’s K-functional. In terms of the K-functional, we introduce invariant K-minimal sets and show a close connection between taut strings and invariant K-minimal sets.

This insight leads to new problems of interpolation theory, gives possibility to generalize the notion of taut strings and provides new applications.

The thesis consists of four papers. In paper I, connections between invariant K-minimal sets and various forms of taut strings are investigated. It is shown that the set Ω′ of the derivatives of the functions in  can be interpreted as an invariant K-minimal set for the Banach couple (ℓ1, ℓ) on Rn. In particular, the derivative of the taut string has minimal K-functional in Ω′. A characterization of all bounded, closed and convex sets in Rn that are invariant K-minimal for (ℓ1, ℓ) is established.

Paper II presents examples of invariant K-minimal sets in Rn for (ℓ1, ℓ). A convergent algorithm for computing the element with minimal K-functional in such sets is given. In the infinite-dimensional setting, a sufficient condition for a set to be invariant K-minimal with respect to the Banach couple L1 ([0,1]m) ,L ([0,1]m) is established. With this condition at hand, different examples of invariant K-minimal sets for this couple are constructed.

Paper III considers an application of taut strings to buffered real-time communication systems. The optimal buffer management strategy, with respect to minimization of a class of convex distortion functions, is characterized in terms of a taut string. Further, an algorithm for computing the optimal buffer management strategy is provided.

In paper IV, infinite-dimensional taut strings are investigated in connection with the Wiener process. It is shown that the average energy per unit of time of the taut string in the long run converges, if it is constrained to stay within the distance r > 0 from the trajectory of a Wiener process, to a constant C2/r2 where C ∈ (0,∞). While the exact value of C is unknown, the numerical estimate C ≈ 0.63 is obtained through simulations on a super computer. These simulations are based on a certain algorithm for constructing finite-dimensional taut strings.

##### Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2016. p. 24
##### Series
Linköping Studies in Science and Technology. Dissertations, ISSN 0345-7524 ; 1801
##### National Category
Mathematical Analysis
##### Identifiers
urn:nbn:se:liu:diva-132421 (URN)10.3384/diss.diva-132421 (DOI)9789176856499 (ISBN)
##### Public defence
2016-12-02, Nobel BL32, B-huset, Campus Valla, Linköping, 13:15 (English)
##### Supervisors
Available from: 2016-11-10 Created: 2016-11-10 Last updated: 2016-11-10Bibliographically approved

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Cite
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