On Convergence of the Uniform Norm and Approximation for Stochastic Processes from the Space $${\textbf{F}}_\psi (\Omega )$$ F ψ ( Ω )

Iryna Rozora (), Yurii Mlavets (), Olga Vasylyk () and Volodymyr Polishchuk ()
Additional contact information
Iryna Rozora: Taras Shevchenko National University of Kyiv
Yurii Mlavets: Uzhhorod National University
Olga Vasylyk: National Technical University of Ukraine “Igor Sikorsky Kyiv Polytechnic Institute”
Volodymyr Polishchuk: Uzhhorod National University

Journal of Theoretical Probability, 2024, vol. 37, issue 2, 1627-1653

Abstract: Abstract In this paper, we consider random variables and stochastic processes from the space $${\textbf{F}}_\psi (\Omega )$$ F ψ ( Ω ) and study approximation problems for such processes. The method of series decomposition of a stochastic process from $${\textbf{F}}_\psi (\Omega )$$ F ψ ( Ω ) is used to find an approximating process called a model. The rate of convergence of the model to the process in the uniform norm is investigated. We develop an approach for estimating the cut-off level of the model under given accuracy and reliability of the simulation.

Keywords: Approximation for stochastic processes; Model; Simulation; Series decomposition; The space $${\textbf{F}}_\psi (\Omega )$$ F ψ ( Ω ); 60G07; 60G15; 65C20; 68U20 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10959-023-01309-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jotpro:v:37:y:2024:i:2:d:10.1007_s10959-023-01309-x

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/10959

DOI: 10.1007/s10959-023-01309-x

Access Statistics for this article

Journal of Theoretical Probability is currently edited by Andrea Monica

More articles in Journal of Theoretical Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().