(Local) self-similarity is a seminal concept, especially for Euclidean random fields. We study in this paper the extension of these notions to manifold indexed fields. We give conditions on the (local) self-similarity index that ensure the existence of fractional fields. Moreover, we explain how to identify the self-similar index. We describe a way of simulating Gaussian fractional fields.
(Local) self-similarity is a seminal concept, especially for Euclidean random fields. We study in this paper the extension of these notions to manifold indexed fields. We give conditions on the (local) self-similarity index that ensure the existence of fractional fields. Moreover, we explain how to identify the self-similar index. We describe a way of simulating Gaussian fractional fields.
Let T be a precompact subset of a Hilbert space. We estimate the metric entropy of co(T), the convex hull of T, by quantities originating in the theory of majorizing measures. In a similar way, estimates of the Gelfand width are provided. As an application we get upper bounds for the entropy of co(T), , , by functions of the ’s only. This partially answers a question raised by K. Ball and A. Pajor (cf. [1]). Our estimates turn out to be optimal in the case of slowly decreasing sequences .
Weighted power variations of fractional brownian motion B are used to compute the exact rate of convergence of some approximating schemes associated to one-dimensional stochastic differential equations (SDEs) driven by B. The limit of the error between the exact solution and the considered scheme is computed explicitly.
On donne une nouvelle forme de l’inégalité de Slépian et une démonstration simple de la minoration de Sudakov ; on montre la parenté de cette minoration et de celles qui sont basées sur l’emploi des séries trigonométriques lacunaires.
We define multifractional Brownian fields indexed by a metric space, such as a manifold with its geodesic distance, when the distance is of negative type. This construction applies when the Brownian field indexed by the metric space exists, in particular for spheres, hyperbolic spaces and real trees.
By using a wavelet method we prove that the harmonisable-type N-parameter multifractional brownian motion (mfBm) is a locally nondeterministic gaussian random field. This nice property then allows us to establish joint continuity of the local times of an (N, d)-mfBm and to obtain some new results concerning its sample path behavior.
We combine Stein’s method with Malliavin calculus in order to obtain explicit bounds in the multidimensional normal approximation (in the Wasserstein distance) of functionals of gaussian fields. Among several examples, we provide an application to a functional version of the Breuer–Major CLT for fields subordinated to a fractional brownian motion.